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Weak form market efficiency tests

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Weak form market efficiency tests

by Anis Ben Hassen

 

06 Dec 2005 (Updated 07 Dec 2005)

market efficiency tests

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Description

This is a set of functions that allows to test the weak form market efficiency and thus the predictability of the time series returns through various tests: direct and indirect test.
The direct tests are the two versions (individual and joint)of the variance ratio of Lo and MacKinlay (1988).

The indirect tests allows to test for profitability through the implementation of different investment strategies like the momentum strategy and the technical trading rules.
MATLAB release MATLAB 7 (R14)
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Comments and Ratings (2)
10 Dec 2005 patrice lefevre  
28 Sep 2009 Rodrigo de Sá

At least the vrt doesn't work.
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Tag Activity for this File
Tag Applied By Date/Time
finance Anis Ben Hassen 22 Oct 2008 08:09:00
modeling Anis Ben Hassen 22 Oct 2008 08:09:00
analysis Anis Ben Hassen 22 Oct 2008 08:09:00
momentum strategy Anis Ben Hassen 22 Oct 2008 08:09:00
variance ratio tests Anis Ben Hassen 22 Oct 2008 08:09:00
price Anis Ben Hassen 22 Oct 2008 08:09:00
moving averages rule Anis Ben Hassen 22 Oct 2008 08:09:00
analysis s sanfooo 09 May 2009 11:39:12
analysis Vladimir 08 Jan 2010 07:40:42
analysis Renwen Lin 28 Apr 2011 07:00:22

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