Please use this identifier to cite or link to this item: http://hdl.handle.net/10397/21044
Title: Tests of the random walk hypothesis for financial data
Authors: Nakamura, T
Small, M
Keywords: Econophysics
Financial data
Random walk
Surrogate data
Issue Date: 2007
Publisher: Elsevier Science Bv
Source: Physica a : statistical mechanics and its applications, 2007, v. 377, no. 2, p. 599-615 How to cite?
Journal: Physica A: Statistical Mechanics and its Applications 
Abstract: We propose a method from the viewpoint of deterministic dynamical systems to investigate whether observed data follow a random walk (RW) and apply the method to several financial data. Our method is based on the previously proposed small-shuffle surrogate method. Hence, our method does not depend on the specific data distribution, although previously proposed methods depend on properties of the data distribution. The data we use are stock market (Standard & Poor's 500 in US market and Nikkei225 in Japanese market), exchange rate (British Pound/US dollar and Japanese Yen/US dollar), and commodity market (gold price and crude oil price). We found that these financial data are RW whose first differences are independently distributed random variables or time-varying random variables.
URI: http://hdl.handle.net/10397/21044
DOI: 10.1016/j.physa.2006.10.073
Appears in Collections:Journal/Magazine Article

Access
View full-text via PolyU eLinks SFX Query
Show full item record

SCOPUSTM   
Citations

7
Last Week
0
Last month
0
Citations as of May 26, 2017

WEB OF SCIENCETM
Citations

7
Last Week
0
Last month
0
Citations as of May 28, 2017

Page view(s)

19
Last Week
0
Last month
Checked on May 28, 2017

Google ScholarTM

Check

Altmetric



Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.