R/S Analysis in a Birth-Death Random Walk and Financial Volatility

摘要

Theoretical and practical reasons underlie the importance of research dealing with departure of the "random walk hypothesis" in finance and in developing the required mathematical and statistical tools which can help us detect when such ahypothesis is acceptable or not. The ever present dilemma to follow the "chartists" versus the "fundamentalists" view in developing a financial policy can be settled once the meaning and the types of uncertainty we deal with is clarified. If the"Martingales" hypothesis is verified, the fundamental theory implying efficient and perfect markets cannot be rejected in a statistical sense. R/S analysis seeks, which presumes to indicate long run memory and persistence of time series, seeks to addresspartly these issues. The purpose of this paper is to provide some essential and parametric results regarding the R/S statistic and outline some implications to detection of volatility and the analysis of time series.