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Extending the variance ratio test to visualize structure in data: an application to the S&P 100 Index

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Author Info
Andreas Lindemann
Christian L. Dunis
Paulo Lisboa
Abstract

The aim of this paper is to present a method able to graphically describe the amount of structure in a time series. In the following, 'structure' is defined as the extent to which a time series is either trending or mean-reverting (that is showing pockets of positive as well as negative autocorrelation). What is defined as being trending, respectively mean-reverting, should be seen in relation to the characteristics of a random walk. Testing most of the constituents of the Standard & Poor's 100 index for structure and using a modified variance ratio that focuses on the whole ratio profile rather than an individual ratio, trending is detected as well as mean-reverting structure over a time period of more than 10 years.

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Article provided by Taylor and Francis Journals in its journal Applied Financial Economics Letters.

Volume (Year): 1 (2005)
Issue (Month): 3 (May)
Pages: 189-197
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Handle: RePEc:taf:apfelt:v:1:y:2005:i:3:p:189-197

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  1. Fong, Wai Mun & Koh, Seng Kee & Ouliaris, Sam, 1997. "Joint Variance-Ratio Tests of the Martingale Hypothesis for Exchange Rates," Journal of Business & Economic Statistics, American Statistical Association, vol. 15(1), pages 51-59, January.
  2. Dittmar, Robert & Neely, Christopher J & Weller, Paul, 1996. "Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach," CEPR Discussion Papers 1480, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  3. Brock, W. & Lakonishok, J. & Lebaron, B., 1991. "Simple Technical Trading Rules And The Stochastic Properties Of Stock Returns," Working papers 90-22, Wisconsin Madison - Social Systems.
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