::Free Statistics and Forecasting Software::

:: Quasi Random-Walk Identification - Free Statistics Software (Calculator) ::

The non-commercial (academic) use of this software is free of charge. The only thing that is asked in return is to cite this software when results are used in publications.

This free online software (calculator) computes the probability of (financial) Time Series being consitent with the Quasi Random-Walk based on the Bias-Reduced Logistic Regression Model [Firth, D. (1993) Bias reduction of maximum likelihood estimates. Biometrika 80, 27-38.]. The model uses the (large or small sample) Kurtosis p-value as the only exogenous variable.

The Bias-Reduced Logisitic Regression Model and the data of the test database can be obtained in R-format here. The Master thesis of Kim Van der Vorst has been published on our Research Paper Publishing website with the following components: Abstract (English), full-text (Dutch), R Database, and R Source code.

If the probability is close to 1 then the (financial) time series under investigation is not consistent with the Efficient Market Hypothesis (c.q. Random-Walk) - hence it behaves like most 'real' financial stock market series (c.q. Quasi Random-Walk). Please, enter original financial time series (no transformation is required because this software computes log returns).

Enter (or paste) your data delimited by hard returns.

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Data:
2443.6 2460.2 2448.2 2470.4 2484.7 2466.8 2487.9 2508.4 2510.5 2497.4 2532.5 2556.8 2561 2547.3 2541.5 2558.5 2587.9 2580.5 2579.6 2589.3 2595 2595.6 2588.8 2591.7 2601.7 2585.4 2573.3 2597.4 2600.6 2570.6 2569.4 2584.9 2608.8 2617.2 2621 2540.5 2554.5 2601.9 2623 2640.7 2640.7 2619.8 2624.2 2638.2 2645.7 2679.6 2669 2664.6 2663.3 2667.4 2653.2 2630.8 2626.6 2641.9 2625.8 2606 2594.4 2583.6 2588.7 2600.3 2579.5 2576.6 2597.8 2595.6 2599 2621.7 2645.6 2644.2 2625.6 2624.6 2596.2 2599.5 2584.1 2570.8 2555 2574.5 2576.7 2579 2588.7 2601.1 2575.7 2559.5 2561.1 2528.3 2514.7 2558.5 2553.3 2577.1 2566 2549.5 2527.8 2540.9 2534.2 2538 2559 2554.9 2575.5 2546.5 2561.6 2546.6 2502.9 2463.1 2472.6 2463.5 2446.3 2456.2 2471.5 2447.5 2428.6 2420.2 2414.9 2420.2 2423.8 2407 2388.7 2409.6 2392 2380.2 2423.3 2451.6 2440.8 2432.9 2413.6 2391.6 2358.1 2345.4 2384.4 2384.4 2384.4 2418.7 2420 2493.1 2493.1 2492.8
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Quasi Random-Walk Identification - Financial Time Series - Bias-Reduced Logistic Regression Model
Statistics of (1-B)lnY(t)	Value
Kurtosis (small sample)	1.959721
Kurtosis S.E. (small sample)	0.417147
TEST 1 (small sample)	4.697916
TEST 1 Prob. (small sample)	0.000000
Quasi Random-Walk probability	0.962935
Kurtosis (large sample)	1.842043
Kurtosis S.E. (large sample)	0.424795
TEST 1 (large sample)	4.336306
TEST 1 Prob. (large sample)	0.000000
Quasi Random-Walk probability	0.962935

To cite Wessa.net in publications use:
Wessa, P. (2008), Free Statistics Software, Office for Research Development and Education,
version 1.1.20, URL http://www.wessa.net/

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