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Do stock returns follow random walks? - Runs test (Excel)
Автор: NEDL
Загружено: 2020-05-25
Просмотров: 11509
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Do stock returns follow random walks? And how might one test if they do? In 1940, Wald and Wolfowitz have developed the first and perhaps the simplest market efficiency test - runs test - that is based on the logic of a coin toss series and runs of consecutive heads or tails. Today we discuss the mathematical and statistical intuition behind runs test and apply it to see if S&P 500 returns do indeed follow a random walk.
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