What if the price moves randomly at all levels of frequency! A modified version of the variance ratio test can be used to simultanously test the...
Since you're asking about the future, no one will tell you the exact truth. And if, by chance, someone tells you the truth, you will never know...
I must admit that the original post was based on an idea that is IMPOSSSIBLE to implement. It is possible to extend a random time series to become...
Thanks for your post piezoe.. In a typical variance ratio test, we are testing the following: Var(x) = k * Var(y) Where length of period x =...
On Friday 8-8-2008, the VIX index closed at 20.66 1. There is a high chance that next Monday it will close around this number ( for example,...
The level of IV is definitely autocorrelated, but that's not important and not even relevant. What's really important is whether the IV rate of...
dtrader98 Sorry if my statement was not clear.. English is NOT my first language :( My proposed idea is based on the assumption that returns...
Still working on it.. Do you have any thought? Finding the right solution to a specific problem is easier than finding the right problem to a...
1. Market behavior is mathematically not random but economically random.. and you cannot consistently achieve abnormal returns from the...
Couldn't agree more except for the trick. Testing randomness must cover the whole time-series. Slicing the series into predetermined parts will...
The idea I'm thinking about is not related to Shannon's method. As to Shannon method itself; which is older than me, If it works we would have...
Correlation has nothing to do with randomness. High correlation doesn't imply nonrandomness. Autocorrelation does. The randomness I'm refering to...
Hi.. Assume that the market is efficient and that prices move randomly. 1. For any stock, test the randomness of its price moves. There are...
Separate names with a comma.