In this article we test the random walk hypothesis for weekly stock market returns by comparing
variance estimators derived from data sampled at different frequencies. The random walk …

For over half a century, financial experts have regarded the movements of markets as a
random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this …

A test for long-run memory that is robust to short-range dependence is developed. It is an
extension of the "range over standard deviation" or R/S statistic, for which the relevant …

We provide a survey of 31 quantitative measures of systemic risk in the economics and
finance literature, chosen to span key themes and issues in systemic risk measurement and …

In this review article, we explore several recent advances in the quantitative modeling of
financial markets. We begin with the Efficient Markets Hypothesis and describe how this …

One of the most influential ideas in the past 30 years is the Efficient Markets Hypothesis, the
idea that market prices incorporate all information rationally and instantaneously. However, …

This book is an ambitious effort by three well-known and well-respected scholars to fill an
acknowledged void in the literature—a text covering the burgeoning field of empirical finance. …

Technical analysis, also known as “charting,” has been a part of financial practice for many
decades, but this discipline has not received the same level of academic scrutiny and …

The battle between proponents of the Efficient Markets Hypothesis and champions of
behavioral finance has never been more pitched, and little consensus exists as to which side is …

The rationality of financial markets has been one of the most hotly contested issues in the
history of modern financial economics. Recent critics of the Efficient Markets Hypothesis argue …