Testing the Random Walk Hypothesis

AbstractThe following sections are included:INTRODUCTIONTEST METHODOLOGYDISTRIBUTIONS OF SAMPLE AUTOCORRELATIONSAsymptotic limitsFinite samplesA SELECTION OF TEST STATISTICSAutocorrelation testsSpectral testsThe runs testTHE PRICE-TREND HYPOTHESISPrice-trend autocorrelationsAn examplePrice-trend spectral densityTESTS FOR RANDOM WALKS VERSUS PRICE-TRENDSCONSEQUENCES OF DATA ERRORSRESULTS OF RANDOM WALK TESTSStocksCommodities and currenciesAbout the rest of this chapterSOME TEST RESULTS FOR RETURNSPOWER COMPARISONSTESTING EQUILIBRIUM MODELSStocksSimulation resultsTestsOther equilibrium modelsConclusionINSTITUTIONAL EFFECTSLimit rulesBid-ask spreadsRESULTS FOR SUBDIVIDED SERIESCONCLUSIONSSUMMARYAPPENDIX 6(A) Correlation between test values for two related series