- Serial correlation tests
- Used to determine if price changes in future are related to the preceding period.
- They show a very low correlation coefficient indicating that a price rise did not show tendency to price fall or the other way round.
2. Run tests
- Useful to test the randomness in stock price movements.
- Only direction of price changes is seen and the absolute price changes are not considered.
- The increase in price is represented by + sign and decrease is represented by – sign. When there is no change, it is shown by 0.
- A run represents a consecutive sequence of the same sign.
3. Filter tests
April 15, 2022