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Seminar 8 Testarea eficientei informationale

Eficien n form slab


Implicaii ale faptului c o pia este ineficient n form slab:
Pe baza trecutului se poate anticipa viitorul
Se pot obine ctiguri sistematice anormale prin utilizarea elementelor de analiz tehnic
Gestiune activ

Sa se studieze eficienta informationala in forma slaba a piete de capital unde r reprezinta


rentabilitatea zilnica a indicelui compozit pentru o perioada istorica de 16 zile:
a) test grafic R(t), R(t-1)
b) coeficienti de autocorelatie
c) anomalii calendaristice (alte efecte posibile)

time curs r(t) r(t-1) r(t-2) r(t-3) r(t-4) r(t-5)


vineri 2625
luni 2615 -0.3810%
-
marti 2614 -0.0382% 0.3810%
- -
miercuri 2615 0.0383% 0.0382% 0.3810%
- -
joi 2617 0.0765% 0.0383% 0.0382% 0.3810%
- -
vineri 2615 -0.0764% 0.0765% 0.0383% 0.0382% 0.3810%
- - -
luni 2580 -1.3384% 0.0764% 0.0765% 0.0383% 0.0382% 0.3810%
- - -
marti 2581 0.0388% 1.3384% 0.0764% 0.0765% 0.0383% 0.0382%
- -
miercuri 2579 -0.0775% 0.0388% 1.3384% 0.0764% 0.0765% 0.0383%
- - -
joi 2578 -0.0388% 0.0775% 0.0388% 1.3384% 0.0764% 0.0765%
- - - -
vineri 2615 1.4352% 0.0388% 0.0775% 0.0388% 1.3384% 0.0764%
- - -
luni 2580 -1.3384% 1.4352% 0.0388% 0.0775% 0.0388% 1.3384%
- - -
marti 2580 0.0000% 1.3384% 1.4352% 0.0388% 0.0775% 0.0388%
- - -
miercuri 2581 0.0388% 0.0000% 1.3384% 1.4352% 0.0388% 0.0775%
- -
joi 2580 -0.0387% 0.0388% 0.0000% 1.3384% 1.4352% 0.0388%
- -
vineri 2590 0.3876% 0.0387% 0.0388% 0.0000% 1.3384% 1.4352%

Rezultate:

lag corelatie zi
-
1 -0.360001102 luni 1.0193%
2 -0.041185152 marti 0.0002%
-
3 0.020901577 miercuri 0.0002%
-
4 -0.46613137 joi 0.0003%
5 0.565170935 vineri 0.5821%
Test Grafic
2.0000%
1.5000%
1.0000%
0.5000%
Rt-1
0.0000%
-2.0000% -1.0000% 0.0000%
-0.5000% 1.0000% 2.0000%

-1.0000%
-1.5000%

Rt