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  • Kendall: the random walk of prices
  • Fama’s runs test
  • Ljung-Box portmanteau test
  • Lo-MacKinlay variance ratio
  • Market efficiency

Market efficiency#

Testing the random walk: serial correlation, runs, portmanteau statistics and variance ratios.

Kendall: the random walk of prices

Kendall: the random walk of prices

Fama’s runs test

Fama's runs test

Ljung-Box portmanteau test

Ljung-Box portmanteau test

Lo-MacKinlay variance ratio

Lo-MacKinlay variance ratio
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