Academic Journal
On the testing of Adaptive Markets Hypothesis using rolling windows.
| Τίτλος: | On the testing of Adaptive Markets Hypothesis using rolling windows. |
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| Συγγραφείς: | Hřebačka, Viktor1 (AUTHOR) 434045@mail.muni.cz |
| Πηγή: | Applied Economics Letters. Mar2026, Vol. 33 Issue 5, p742-746. 5p. |
| Θεματικοί όροι: | *Statistical hypothesis testing, *Monte Carlo method, *Time series analysis, *Efficient market theory, *Financial markets, Multiple comparisons (Statistics), False positive error |
| Περίληψη: | In this paper, we investigate the issue of multiple testing problem in the testing of Adaptive Markets Hypothesis via rolling window analysis. Using Monte Carlo simulation, we show that a significant number of previous findings could be attributed to Type I error and that the evidence in favour of the hypothesis is weaker than it seems. Furthermore, we also recommend potential remedies for the issue, such as low rolling window length to time series length ratio. [ABSTRACT FROM AUTHOR] |
| Copyright of Applied Economics Letters is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.) | |
| Βάση Δεδομένων: | Business Source Index |
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| Items | – Name: Title Label: Title Group: Ti Data: On the testing of Adaptive Markets Hypothesis using rolling windows. – Name: Author Label: Authors Group: Au Data: <searchLink fieldCode="AR" term="%22Hřebačka%2C+Viktor%22">Hřebačka, Viktor</searchLink><relatesTo>1</relatesTo> (AUTHOR)<i> 434045@mail.muni.cz</i> – Name: TitleSource Label: Source Group: Src Data: <searchLink fieldCode="JN" term="%22Applied+Economics+Letters%22">Applied Economics Letters</searchLink>. Mar2026, Vol. 33 Issue 5, p742-746. 5p. – Name: Subject Label: Subject Terms Group: Su Data: *<searchLink fieldCode="DE" term="%22Statistical+hypothesis+testing%22">Statistical hypothesis testing</searchLink><br />*<searchLink fieldCode="DE" term="%22Monte+Carlo+method%22">Monte Carlo method</searchLink><br />*<searchLink fieldCode="DE" term="%22Time+series+analysis%22">Time series analysis</searchLink><br />*<searchLink fieldCode="DE" term="%22Efficient+market+theory%22">Efficient market theory</searchLink><br />*<searchLink fieldCode="DE" term="%22Financial+markets%22">Financial markets</searchLink><br /><searchLink fieldCode="DE" term="%22Multiple+comparisons+%28Statistics%29%22">Multiple comparisons (Statistics)</searchLink><br /><searchLink fieldCode="DE" term="%22False+positive+error%22">False positive error</searchLink> – Name: Abstract Label: Abstract Group: Ab Data: In this paper, we investigate the issue of multiple testing problem in the testing of Adaptive Markets Hypothesis via rolling window analysis. Using Monte Carlo simulation, we show that a significant number of previous findings could be attributed to Type I error and that the evidence in favour of the hypothesis is weaker than it seems. Furthermore, we also recommend potential remedies for the issue, such as low rolling window length to time series length ratio. [ABSTRACT FROM AUTHOR] – Name: AbstractSuppliedCopyright Label: Group: Ab Data: <i>Copyright of Applied Economics Letters is the property of Taylor & Francis Ltd and its content may not be copied or emailed to multiple sites without the copyright holder's express written permission. Additionally, content may not be used with any artificial intelligence tools or machine learning technologies. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract.</i> (Copyright applies to all Abstracts.) |
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| RecordInfo | BibRecord: BibEntity: Identifiers: – Type: doi Value: 10.1080/13504851.2024.2389341 Languages: – Code: eng Text: English PhysicalDescription: Pagination: PageCount: 5 StartPage: 742 Subjects: – SubjectFull: Statistical hypothesis testing Type: general – SubjectFull: Monte Carlo method Type: general – SubjectFull: Time series analysis Type: general – SubjectFull: Efficient market theory Type: general – SubjectFull: Financial markets Type: general – SubjectFull: Multiple comparisons (Statistics) Type: general – SubjectFull: False positive error Type: general Titles: – TitleFull: On the testing of Adaptive Markets Hypothesis using rolling windows. Type: main BibRelationships: HasContributorRelationships: – PersonEntity: Name: NameFull: Hřebačka, Viktor IsPartOfRelationships: – BibEntity: Dates: – D: 01 M: 03 Text: Mar2026 Type: published Y: 2026 Identifiers: – Type: issn-print Value: 13504851 Numbering: – Type: volume Value: 33 – Type: issue Value: 5 Titles: – TitleFull: Applied Economics Letters Type: main |
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