市场效率测试器

对任何代码运行正式的弱式效率检验——自相关、游程、Ljung-Box 和方差比统计，每项都附通俗解释。APT 标签拟合 Fama-French 三因子回归。

市场效率检验器

实证弱式有效检验 — runs、autocorrelation、Ljung-Box、variance ratio + APT

股票代码

US/global Yahoo symbol

周期

Quick:

选择股票代码并点击 "运行检验"。本实验室获取最多 10 年日度价格,并对日收益序列运行四种正式的弱式有效检验。

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?).

每个实验室都基于标准教科书数学（Bodie / Kane / Marcus、Fabozzi、Tandelilin）。 Read the full methodology in the How It Works panel above.

Loading