Testador de Eficiência de Mercado

Execute testes formais de eficiência fraca em qualquer ticker — autocorrelação, sequências, Ljung-Box e estatísticas de razão de variância, cada uma com interpretação em linguagem clara. A aba APT ajusta uma regressão Fama-French de três fatores.

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?).

Todo Lab é baseado na matemática padrão de livros didáticos (Bodie / Kane / Marcus, Fabozzi, Tandelilin). Read the full methodology in the How It Works panel above.