Anomalous patterns of market movements: detecting a different kind of market inefficiency

Doyle, John R. and Chen, Catherine Huirong 2010. Anomalous patterns of market movements: detecting a different kind of market inefficiency. [Working Paper]. Social Science Research Network. Available at: http://dx.doi.org/10.2139/ssrn.1605111

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Abstract

This paper uses the Overlapping Serial Test (OS-test) 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. We also use Principal Components Analysis to demonstrate that the kind of inefficiency detected by the OS-test is different from the inefficiencies detected by short memory tests, or by long memory tests commonly used in the literature. This method of analysis could be used by investors to help derive trading strategies.

Item Type:	Monograph (Working Paper)
Date Type:	Publication
Status:	Published
Schools:	Business (Including Economics)
Subjects:	H Social Sciences > H Social Sciences (General) H Social Sciences > HB Economic Theory H Social Sciences > HD Industries. Land use. Labor H Social Sciences > HF Commerce
Uncontrolled Keywords:	Price indices ; Patterns ; Market efficiency ; Overlapping Serial test ; Random number generators ; EMH
Publisher:	Social Science Research Network
ISSN:	15565068
Last Modified:	05 Nov 2019 03:29
URI:	https://orca.cardiff.ac.uk/id/eprint/27467

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