Article ID: | iaor20131069 |
Volume: | 227 |
Issue: | 1 |
Start Page Number: | 122 |
End Page Number: | 132 |
Publication Date: | May 2013 |
Journal: | European Journal of Operational Research |
Authors: | Doyle John R, Chen Catherine H |
Keywords: | market efficiency, random number generators, stock prices, correlation |
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