|Code Listing by Anis Ben Hassen|
This is a simple function that should come with the one present on this site (Variance Ratio Test) which couldn't work without this.
This fuction uses the "variance ratio test" and the "rkp" associated functions to compute the variance ratio ,the tests statistics and the corresponding p-values based on randomization (simulation).
You can read this article to understand the "weak form markets efficiency tests" matlab programs.
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...
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