Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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A sign test for random walk hypothesis based on slopes

기울기를 이용한 랜덤워크 부호검정

  • Received : 2014.02.15
  • Accepted : 2014.03.10
  • Published : 2014.03.31
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Abstract

Random walk hypothesis is a hypothesis that explains theoretically the difficulty in forecasting in financial market. Various tests for the hypothesis have been developed so far but it is known that those tests suffer from low power and size distortion. In this article, a sign test based on slopes are suggested to overcome these difficulties. A simulation study is conducted to compare this test to the often used Dickey and Fuller (1979) test.

랜덤워크 가설은 금융시장의 예측 어려움을 이론적으로 설명하는 가설이다. 현재까지 다양한 랜덤워크 검정방법들이 개발되어 왔으나 낮은 검정력과 유의수준 왜곡 등의 문제를 보이는 것으로 알려져 있다. 본 논문에서는 이러한 문제점들을 개선하기 위해 부호검정에 기초한 랜덤워크 검정방법을 제안하였다. 랜덤워크와 관련하여 흔히 사용되고 있는 Dickey와 Fuller (1979) 검정과 모의실험을 통해 성능을 비교하였다.

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References

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  2. A Wilcoxon signed-rank test for random walk hypothesis based on slopes vol.25, pp.6, 2014, https://doi.org/10.7465/jkdi.2014.25.6.1499