Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Random walks (Mathematics).

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

In this paper, we test the random walk hypothesis for weekly stock market returns by comparing variance estimators derived from data sampled at different frequencies. The random walk model is strongly rejected for the entire sample period (1962-1985) and for all sub-periods for a variety of aggregate returns indexes and size-sorted portfolios. Although the rejections are largely due to the behavior of small stocks, they cannot be ascribed to either the effects of infrequent trading or time-varying volatilities. Moreover, the rejection of the random walk cannot be interpreted as supporting a mean-reverting stationary model of asset prices, but is more consistent with a specific nonstationary alternative hypothesis.

Random walks (Mathematics)

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

This book revolves around two-dimensional simple random walk, a rich and fascinating mathematical object that is the point of departure for a tour of related topics at the active edge of research. Emphasizing direct probabilistic intuition - with many illustrations - it is a highly readable introduction for graduate students and researchers.

Random walks (Mathematics)

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

Investments --- Random walks (Mathematics) --- Stocks

Choose an application

• Reference Manager
• EndNote
• RefWorks (Direct export to RefWorks)

One of the "few great investment books" (Andrew Tobias) ever written, with 2 million copies in print.

Investments. --- Stocks. --- Random walks (Mathematics)