Tests of the random walk hypothesis for financial data-Reference-Cited by-同舟云学术

Tests of the random walk hypothesis for financial data

Published:2007-04 Issue:2 Volume:377 Page:599-615
ISSN:0378-4371
Container-title:Physica A: Statistical Mechanics and its Applications
language:en
Short-container-title:Physica A: Statistical Mechanics and its Applications

Author:

Nakamura Tomomichi,Small Michael

Publisher

Elsevier BV

Subject

Condensed Matter Physics,Statistics and Probability

Reference28 articles.

1. Small-shuffle surrogate data: testing for dynamics in fluctuating data with trends;Nakamura;Phys. Rev. E,2005

2. Principles of Random Walk;Spitzer,1976

3. P.H. Cootner (Ed.), The Random Character of Stock Prices, Risk Books, London, 2000 (An English translation of Bachelier's 1900 Thesis, Theory of Speculation, is included in this book).

4. A Non-Random Walk Down Wall Street;Lo,2002

5. A Random Walk Down Wall Street;Malkiel,1999

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