Probador de Eficiencia de Mercado

Ejecute pruebas formales de eficiencia débil en cualquier ticker — autocorrelación, rachas, Ljung-Box y estadísticas de razón de varianzas, cada una con interpretación en lenguaje sencillo. La pestaña APT ajusta una regresión Fama-French de tres factores.

Efficiency Tester

Empirical weak-form tests — runs, autocorrelation, Ljung-Box, variance ratio + APT

Ticker

US/global Yahoo symbol

Period

Quick:

Pick a ticker and click "Run Tests". The lab fetches up to 10y of daily prices and runs four formal weak-form efficiency tests on the daily return series.

The Efficient Market Hypothesis says you can't predict tomorrow's price from today's information - returns should look random. We test this with three classic statistical tests: autocorrelation (do returns predict the next return?), runs test (are streaks of up/down days too long or too short?), and Lo-MacKinlay variance ratio (does volatility scale linearly with horizon?).

Cada Lab se basa en matemáticas estándar de libros de texto (Bodie / Kane / Marcus, Fabozzi, Tandelilin). Read the full methodology in the How It Works panel above.