Tests of the random walk hypothesis for financial data

Physica A: Statistical Mechanics and its Applications

Volumn 377, Issue 2, 2007, Pages 599-615

  Nakamura, Tomomichi ^a   Small, Michael ^a  

^a HONG KONG POLYTECHNIC UNIVERSITY   (Hong Kong)

Author keywords

Econophysics; Financial data; Random walk; Surrogate data

Indexed keywords

DATA REDUCTION; INVENTORY CONTROL; NUMERICAL METHODS; RANDOM PROCESSES;

ECONOPHYSICS; RANDOM VARIABLES; RANDOM WALK (RW); SURROGATE DATA;

FINANCIAL DATA PROCESSING;

EID: 33846653398     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2006.10.073     Document Type: Article

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