Description

Book Synopsis
This volume provides more evidence against the Random Walk Hypothesis and offers insights into market inefficiency through systematically trading exchange-traded funds (ETFs). The book is organized to answer the following three questions: Do ETF prices follow random walks? If not, what are some of the factors that impact their non-random walk behavior? How can investors take advantage of such price dynamics in trading ETFs?

Table of Contents
Non-Random Walk Behavior in ETF Price Dynamics; Variance Ratios; Equity, Bond, Commodity and Currency ETFs; Factors of Serial Correlation; Discretized Sampling of Variance and Volatility Trading;

More Evidence Against The Random Walk Hypothesis:

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A Hardback by Shunxin Jiang

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    View other formats and editions of More Evidence Against The Random Walk Hypothesis: by Shunxin Jiang

    Publisher: World Scientific Publishing Co Pte Ltd
    Publication Date: 26/03/2015
    ISBN13: 9789814641050, 978-9814641050
    ISBN10: 9814641057
    Also in:
    Investment and securities Stochastics

    Description

    Book Synopsis
    This volume provides more evidence against the Random Walk Hypothesis and offers insights into market inefficiency through systematically trading exchange-traded funds (ETFs). The book is organized to answer the following three questions: Do ETF prices follow random walks? If not, what are some of the factors that impact their non-random walk behavior? How can investors take advantage of such price dynamics in trading ETFs?

    Table of Contents
    Non-Random Walk Behavior in ETF Price Dynamics; Variance Ratios; Equity, Bond, Commodity and Currency ETFs; Factors of Serial Correlation; Discretized Sampling of Variance and Volatility Trading;

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