Extending the variance ratio test to visualize structure in data: an application to the S&P 100 Index
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.
Volume (Year): 1 (2005)
Issue (Month): 3 (May)
|Contact details of provider:|| Web page: http://www.tandfonline.com/RAFL20|
|Order Information:||Web: http://www.tandfonline.com/pricing/journal/RAFL20|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Neely, Christopher & Weller, Paul & Dittmar, Rob, 1997.
"Is Technical Analysis in the Foreign Exchange Market Profitable? A Genetic Programming Approach,"
Journal of Financial and Quantitative Analysis,
Cambridge University Press, vol. 32(04), pages 405-426, December.
- 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.
- Christopher J. Neely & Paul A. Weller & Robert Dittmar, 1997. "Is technical analysis in the foreign exchange market profitable? a genetic programming approach," Working Papers 1996-006, Federal Reserve Bank of St. Louis.
- Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
- 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.
- Brock, William & Lakonishok, Josef & LeBaron, Blake, 1992. " Simple Technical Trading Rules and the Stochastic Properties of Stock Returns," Journal of Finance, American Finance Association, vol. 47(5), pages 1731-1764, December.
- 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.
When requesting a correction, please mention this item's handle: RePEc:taf:apfelt:v:1:y:2005:i:3:p:189-197. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Michael McNulty)
If references are entirely missing, you can add them using this form.