QuantMash

3 ms·

1. 1.▲
   by QuantMash 11y ago

   Interesting. I'm no statistician but the blog post states that the authors of the original paper (Lo and Mckinlay) claim the test is heteroskedasticity-consistent. So what are you saying? Are you saying the original paper is wrong? Tha
2. 2.▲
   by QuantMash 11y ago

   The article clearly states that the test extends to many forms of randomness beyond Gaussian: "Nevertheless, the desired effect of stochastic volatility namely, fatter tailed distributions ..." "... we want a test for the ran
3. 3.▲
   by QuantMash 11y ago

   Apologies.
4. 4.▲
   Stock Market Prices Do Not Follow Random Walks(turingfinance.com)

   77 points by QuantMash 11y ago|24 comments