Efficient Market Hypothesis Archives - Turing Finance
Testing the Random Walk Hypothesis with R, Part One
November 20, 2016 | StuartReid | 11 CommentsWarning: preg_replace(): The /e modifier is no longer supported, use preg_replace_callback instead in /home/customer/www/turingfinance.com/public_html/wp-content/plugins/latex/latex.php on line 47
Whilst working on some code for my Masters I kept thinking, "it would be really awesome if there was an R package which just consumed a price series and produced a data.frame of results from multiple randomness tests at multiple frequencies". ... Read More
Lossless Compression Algorithms and Market Efficiency?
April 18, 2016 | StuartReid | 17 CommentsIn Hacking The Random Walk Hypothesis we applied the NIST suite of cryptographic tests for randomness to binarized daily market returns. Overall the NIST suite failed on the data. This result was taken to mean that markets are not quite the ... Read More