Patterns in stock market movements tested as random number generators

Doyle, John R. and Chen, Catherine Huirong (2013) Patterns in stock market movements tested as random number generators. European Journal Of Operational Research, 227 (1). pp. 122-132. ISSN 0377-2217 (doi:10.1016/j.ejor.2012.11.057)

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Abstract

This paper shows that tests of Random Number Generators (RNGs) may be used to test the Efficient Market Hypothesis (EMH). It uses the Overlapping Serial Test (OST), a standard test in RNG research, to detect anomalous patterns in the distribution of sequences of stock market movements up and down. Our results show that most stock markets exhibit idiosyncratic recurrent patterns, contrary to the efficient market hypothesis; also that OST detects a different kind of non-randomness to standard econometric long- and short-memory tests. Exposure of these anomalies should contribute to making markets more efficient.

Item Type: Article
Keywords (uncontrolled): Stock market time series; financial data mining; forecasting; finance; overlapping serial test
Research Areas: A. > Business School > Accounting and Finance
Item ID: 10010
Depositing User: Dr Catherine Huirong Chen
Date Deposited: 11 Mar 2013 07:46
Last Modified: 30 May 2019 18:28
URI: https://eprints.mdx.ac.uk/id/eprint/10010

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