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Turing Finance | July 18, 2017

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RStats Archives - Turing Finance

Testing the Random Walk Hypothesis with R, Part One

November 20, 2016 | | 11 Comments

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 | | 16 Comments

In 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

Stock Market Prices Do Not Follow Random Walks

February 8, 2016 | | 23 Comments

Because volatility seems to cluster in real life as well as the markets, it has been a while since my last article. Sorry about that. Today we will be taking our first giant leap along A Non-Random Walk down Wall Street.

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