Patterns in stock market movements tested as random number generators

Doyle, John R. and Chen, Catherine H. 2013. Patterns in stock market movements tested as random number generators. European Journal of Operational Research 227 (1) , pp. 122-132. 10.1016/j.ejor.2012.11.057

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Abstract

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 down. Our results show that most stock markets exhibit idiosyncratic recurrent patterns, contrary to the efficient market hypothesis; also that OST detects a different kind of non-randomness to standard econometric long- and short-memory tests. Exposure of these anomalies should contribute to making markets more efficient.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > HG Finance
Uncontrolled Keywords:	Stock Market Time Series; Financial Data Mining; Forecasting; Finance; Overlapping Serial Test
Publisher:	Elsevier
ISSN:	0377-2217
Last Modified:	05 Nov 2019 03:33
URI:	https://orca.cardiff.ac.uk/id/eprint/41377

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