Nakamura, Tomomichi; Small, Michael - In: Physica A: Statistical Mechanics and its Applications 377 (2007) 2, pp. 599-615
We propose a method from the viewpoint of deterministic dynamical systems to investigate whether observed data follow a random walk (RW) and apply the method to several financial data. Our method is based on the previously proposed small-shuffle surrogate method. Hence, our method does not...