Research method
Random walk hypothesis test
Random walk hypothesis test is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Conditional forecast or research filter
- Input
- Ordered price, volume or breadth observations
- Horizon
- A defined sampling interval and lookback
- Best use
- Compare an explicit quantitative baseline with an out-of-sample result.
- Input: Ordered price, volume or breadth observations.
- Output: forecast.
- Use boundary: Compare an explicit quantitative baseline with an out-of-sample result.
The archive
Where the method has been read
Read in the archive11 readings
1984When random walks fail to explain market averages1986Evaluate the price random-walk question as a gated quantile lab1988Building probability-density adaptive weights and a chi-square trend filter1990Withhold a random-walk label until grouping and lookback are checked1991Constructing a variable-lookback random walk trend filter1992Ranking futures trend tendency against a random walk1995A normalized dispersion screen for trend-following1997Why failed random-walk tests still need careful Monte Carlo work2007Constructing a random-walk baseline from ordered returns2011Constructing a cycle-free trend filter against an ATR-scaled random walk2013How to evaluate a hybrid growth and money-flow scan
This registry entry describes a research method. It is not investment advice and does not make a performance claim.