Closed LautaroParada closed 4 years ago
Thanks for sharing that! Is that published on GitHub too? Currently we list only GitHub repositories.
Of course! here is the link https://github.com/LautaroParada/variance-test
any updates @IonicaBizau ?
@LautaroParada Please create a pull request with that. I'll be happy to merge it.
Hi all, I would like to propose my repository as a new entry in the list. The functionality of this one is related to a statistical test that aims to prove that some financial series have a predictability component in their structure. This test can be used as a filter for a machine learning algorithm that trades some financial instruments in an automated fashion.
The test is called the Variance Ratio Test and it was designed by Andrew Lo and Archey Mackinlay
For a detailed explanation of the test, please visit the papers in which this test is based:
Lo, Andrew W. and MacKinlay, Archie Craig, Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (February 1987). NBER Working Paper No. w2168. Available at SSRN: https://ssrn.com/abstract=346975
Lo, Andrew W. and MacKinlay, Archie Craig, The Size and Power of the Variance Ratio Test in Finite Samples: a Monte Carlo Investigation (June 1988). NBER Working Paper No. t0066. Available at SSRN: https://ssrn.com/abstract=396681