Detecting Randomness: A Review of Existing Tests with New Comparisons |
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Authors: | Alicia Graziosi Strandberg Boris Iglewicz |
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Institution: | 1. Department of Management &2. Operations , Villanova School of Business, Villanova University , Villanova , PA , USA;3. Department of Statistics, The Fox School of Business , Temple University , Philadelphia , PA , USA |
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Abstract: | In this article we review and compare a number of existing tests for detecting randomness in time series data, with emphasis on stock market index data. By comparing variance ratio tests with traditional statistical tests, we have the most extensive simulation comparison of such procedures. The investigated tests are compared over a diverse group of distributions, models, and stock market applications. In our stock market data analysis, the choice of data transformation can have a noticeable effect on test results. This study provides the reader with a guide as to which test and transformation is most appropriate for their use. |
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Keywords: | Randomness Serial correlation Stock market indices Time series Variance ratio tests |
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