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RW3: Uncorrelated Increments

RW3: Uncorrelated Increments. Tests of Serial Correlation. Tests of Serial Correlation. Under the weakest version of the RW theory, RW3, the increments of the random walk are uncorrelated at all leads and lags.

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648 views • 53 slides

Liquidity and Market Efficiency

Liquidity and Market Efficiency. Tarun Chordia (Emory) Richard Roll (UCLA) A. Subrahmanyam (UCLA). Market Efficiency. Cannot be instantaneous CRS (2005) shows that order flows do predict very short-term returns

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419 views • 23 slides

Random Walk Tests and Variance Ratios

Fin250f: Lecture 4.1 Fall 2005 Reading: Taylor, chapter 5.1-5.6. Random Walk Tests and Variance Ratios. Outline. Variance ratios Autocorrelation sampling theory. Types of Random Walks. e(t) IID: No volatility persistence e(t): expectation zero, zero correlation No linear predictors

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351 views • 14 slides

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