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Random Walks in R
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Random Walks in R

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Random Walks in R

Using R in Algorithmic Trading: Testing whether an instrument follows a random walk | Mechanical Forex


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The question of whether or not a financial time series follows a random walk is important as this determines whether or not you might be able to gain a statistical edge that is different from any inherent long term bias. This topic is often discussed across internet forums among retail traders, but you will not be able to find – at least I haven’t – any suggestion to use formal statistical tests in order to determine whether the market is actually random or not. This is quite surprising as there is a quite extensive array of statistical hypothesis tests in time series analysis that have been specifically designed to address the issue of whether or not a sample time series follows a random walk. On today’s post I am going to show you how you can use R to easily perform a powerful statistical test that will let you know whether or not the time series you’re analyzing is likely or not likely to be following a random walk.

Mike

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