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Weak form market efficiency tests 1.0
File ID: 80707






Weak form market efficiency tests 1.0
Download Weak form market efficiency tests 1.0http://www.mathworks.comReport Error Link
License: Freeware
File Size: 532.5 KB
Downloads: 6
Submit Rating:
Weak form market efficiency tests 1.0 Description
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.

License: Freeware

Related: Profitability, Implementation, 1988the, mackinlay, variance, Ratio, Investment, Trading, Rules, Technical, Strategy, Strategies, momentum, jointof, Individual, series, returns, predictability, Efficiency

O/S:BSD, Linux, Solaris, Mac OS X

File Size: 532.5 KB

Downloads: 6



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