You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Hi Guilherme and glad you enjoyed the video! This is IMO a very interesting yet unjustly forgotten test in both finance literature and practice, so doing my best to shine some light on the topic :) The odd and even grouping correspondence to heteroskedasticity and autocorrelation was what fascinated me with the test at first as well :) Stay tuned for more content, in the next couple of weeks I will focus more on risk management and derivatives content, but other videos on market efficiency will surely follow!
Hi Sabah, I have a question. (Sorry that I may spell your name wrong.) You said that the expected E(S) = 629, higher than the observed value of 600, meaning that we have observed 29 more runs than expected. (video time 11:50). I'm confused about this. Should the observed value lower than the expected value implies we get 29 FEWER runs than expected? Thank you so much!
Hi, love your videos, just wondering if you can make a video of how to determine whether the daily return stock follows the GBM model by performing independence tests.
You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7
Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation
Nice video
Thank you
Good job! Interesting to see how the odd and even groups vary, didn´t know about this procedure. It´s intriguing!
Hi Guilherme and glad you enjoyed the video! This is IMO a very interesting yet unjustly forgotten test in both finance literature and practice, so doing my best to shine some light on the topic :) The odd and even grouping correspondence to heteroskedasticity and autocorrelation was what fascinated me with the test at first as well :) Stay tuned for more content, in the next couple of weeks I will focus more on risk management and derivatives content, but other videos on market efficiency will surely follow!
Hi Sabah, I have a question. (Sorry that I may spell your name wrong.) You said that the expected E(S) = 629, higher than the observed value of 600, meaning that we have observed 29 more runs than expected. (video time 11:50). I'm confused about this. Should the observed value lower than the expected value implies we get 29 FEWER runs than expected? Thank you so much!
Hi, love your videos, just wondering if you can make a video of how to determine whether the daily return stock follows the GBM model by performing independence tests.
Hi Hawar, and glad you like the videos! Just to double-check, what do you mean by GBM? Gradient boosting?
@@NEDLeducation Thanks for your prompt response. Geometric Brownian Motion
Hi, love your videos, just wondering if you can make a video of the Kelly capital growth investing criterion’s.
Hi, and glad you are finding the videos useful! Will by all means do a video on Kelly criterion at some point!