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Finance 1 Financial data mining 1 Forecasting 1 Overlapping serial test 1 Stock market time series 1
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Chen, Catherine H. 1 Doyle, John R. 1
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European Journal of Operational Research 1
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Patterns in stock market movements tested as random number generators
Doyle, John R.; Chen, Catherine H. - In: European Journal of Operational Research 227 (2013) 1, pp. 122-132
This paper shows that tests of Random Number Generators (RNGs) may be used to test the Efficient Market Hypothesis (EMH). It uses the Overlapping Serial Test (OST), a standard test in RNG research, to detect anomalous patterns in the distribution of sequences of stock market movements up and...
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