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Title: On the random walk assumption in high frequency stock market prices Authors:  Sebastien Laurent - AMU (France) [presenting]
Shuping Shi - Macquarie University (Australia)
Abstract: The random walk hypothesis plays a central role in finance and in financial econometrics. The aim is to provide a new econometric procedure for testing this hypothesis against either the alternative of a mean reverting process or an explosive process. The new approach utilises intra-day information and tackles the specific features of high frequency financial data in an efficient and innovative way.