July 2016
Beginner to intermediate
462 pages
9h 14m
English
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Testing for random walks
The random walk hypothesis (RWH) just like the efficient-market hypothesis (refer to the Examining the market with the non-parametric runs test recipe) claims that the market cannot be beaten. The RWH stipulates that asset prices perform a random walk. You can in fact generate pretty convincing stock price charts just by flipping a coin repeatedly.
In 1988, finance professors Lo and MacKinlay constructed a test for the RWH using the natural log(arithm) of asset prices as data. The test specifies the log prices to drift around a mean (7.9). We expect price changes for different frequencies (for instance, one-day and two-day periods) to be random. Furthermore, the variances (7.10 and 7.11) at two different frequencies are ...
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I wanted to learn C and C++, but it didn't click for me until I picked up an O'Reilly book. When I went on the O’Reilly platform, I was astonished to find all the books there, plus live events and sandboxes so you could play around with the technology.Addison B.
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I'm always learning. So when I got on to O'Reilly, I was like a kid in a candy store. There are playlists. There are answers. There's on-demand training. It's worth its weight in gold, in terms of what it allows me to do.