Do stock returns follow random walks? - Multivariate runs test (Excel)

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Do stocks follow random walks? Wald and Wolfowitz (1940) runs test allows for a simple dependency test using runs on two subsamples. But what happens in a general case, for any number of subsamples? Here, Barton and David (1957) runs test comes to the rescue! Today we are applying the multivariate runs test in Excel and discussing its advantages and limitations.
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Опубликовано:

1 фев 2021

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Комментарии : 11

@NEDLeducation 3 года назад

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

@gwpiaser 2 года назад

Nice video Thank you

@ghcmartins 3 года назад

Good job! Interesting to see how the odd and even groups vary, didn´t know about this procedure. It´s intriguing!

@NEDLeducation 3 года назад

Hi Guilherme and glad you enjoyed the video! This is IMO a very interesting yet unjustly forgotten test in both finance literature and practice, so doing my best to shine some light on the topic :) The odd and even grouping correspondence to heteroskedasticity and autocorrelation was what fascinated me with the test at first as well :) Stay tuned for more content, in the next couple of weeks I will focus more on risk management and derivatives content, but other videos on market efficiency will surely follow!

@hawarbakr5775 3 года назад

Hi, love your videos, just wondering if you can make a video of how to determine whether the daily return stock follows the GBM model by performing independence tests.

@NEDLeducation 3 года назад

Hi Hawar, and glad you like the videos! Just to double-check, what do you mean by GBM? Gradient boosting?

@hawarbakr5775 3 года назад

@@NEDLeducation Thanks for your prompt response. Geometric Brownian Motion

@vishka07 3 года назад

Hi, love your videos, just wondering if you can make a video of the Kelly capital growth investing criterion’s.

@NEDLeducation 3 года назад

Hi, and glad you are finding the videos useful! Will by all means do a video on Kelly criterion at some point!

@yujunliu8581 Год назад

Hi Sabah, I have a question. (Sorry that I may spell your name wrong.) You said that the expected E(S) = 629, higher than the observed value of 600, meaning that we have observed 29 more runs than expected. (video time 11:50). I'm confused about this. Should the observed value lower than the expected value implies we get 29 FEWER runs than expected? Thank you so much!

@thezorrinofromgemail6978 3 года назад

Hi savva . Can you make a video on risk parity portfolio. Nothing serious on youtube about it. Preferably in excel and without solver (to make it transposable to c# / vba) Thanks in advance