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Random Walk Hypothesis
This chapter covers history, definition, assumptions, and implications of the Random walk hypothesis. The basic idea is that stock prices take a...
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Point forecasts of the price of crude oil: an attempt to “beat” the end-of-month random-walk benchmark
The study of Ellwanger and Snudden (J Bank Financ 154:106962, 2023) discovers a new and remarkable finding regarding the ability of the random-walk...
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Is Violation of the Random Walk Assumption an Exception or a Rule in Capital Markets?
Both the efficient market hypothesis and modern portfolio theory rest on the assumptions of the Gaussian probability distribution and independence of...
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Efficient Market Hypothesis in China Stock Markets
The behavior of stock markets with regard to the stock prices and stock returns is important to traders and investors in optimizing the output of...
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Identifying Safe Haven Assets: Evidence from Fractal Market Hypothesis
In this study, an attempt is made to identify commonly considered safe-haven assets through the Fractal Market Hypothesis (FMH) which assumes that...
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Let’s walk! The fallacy of urban first- and last-mile public transport
In recent years, there has been an upsurge in intelligent mobility solutions that provide door-to-door services. Although these services offer...
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Testing for Sequences and Reversals on Bitcoin Series
A statistical assessment of the sequences and reversals is being carried out on the daily prices of the Bitcoin (BTC-USD) price series and the...
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Random Walks
Random walk was an early descriptive phrase and plank in what has come to be called modern portfolio theory. It includes the notions of efficient...
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Forecasting relative returns for S&P 500 stocks using machine learning
Forecasting changes in stock prices is extremely challenging given that numerous factors cause these prices to fluctuate. The random walk hypothesis...
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A Comprehensive Study of Market Prediction from Efficient Market Hypothesis up to Late Intelligent Market Prediction Approaches
This paper has scrutinized the process of testing market efficiency, data generation process and the feasibility of market prediction with a...
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An Examination of Foreign Exchange Market Efficiency Through the Case of RUB/USD Spot Rate
The Efficient Market Hypothesis is controversially debated in the context of stock and foreign exchange markets. This paper explores the various...
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Elucidation of Chaotic Market Hypothesis Based on Ergodic Theory
We develop a method of directly testifying the efficient market hypothesis (EMH)Efficient Market Hypothesis proposed by Fama by using the ergodic...
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Inattentive Search for Currency Fundamentals
We test the rational inattention theory of exchange rates and proxy attention for different economic fundamentals by the search volume of related...
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Mortgage rate predictability and consumer home-buying assessments
This study aims to examine whether US consumer home-buying assessments can potentially help reduce the random walk prediction errors of mortgage...
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On the Efficiency of the Informal Currency Markets: The Case of the Cuban Peso
Every market leaves its fingerprint in prices time series. The Efficient Market Hypothesis (EMH), considers that prices behave as random walks, a...
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A joint demand modeling framework for ride-sourcing and dynamic ridesharing services: a geo-additive Markov random field based heterogeneous copula framework
Promoting sustainable transportation, ride-sourcing and dynamic ridesharing (DRS) services have transformative impacts on mobility, congestion, and...
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Consumption and Portfolio Rules
In this chapter we study the portfolio choices of risk-averse individuals. We assume that there are n-risky assets and one risk-free asset. From the...
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Nonstationarity and ARIMA(p,d,q) Processes
Many economic and financial time series do not have a constant mean. Rather they show growth or decay. The type of growth–whether deterministic or...
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Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test
This paper extends the fixed- b Phillips–Perron unit root test, namely PP(fb), by using a sieve bootstrap method to deal with serial-correlated...
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Cryptocurrencies, gold, and WTI crude oil market efficiency: a dynamic analysis based on the adaptive market hypothesis
This study examined the evolving oil market efficiency by applying daily historical data to the three benchmark cryptocurrencies (Bitcoin, Ethereum,...
