Blar i forfatter Mastergradsoppgaver i statistikk "Jespersen, Marte"
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Empirical analysis of time-lagged cross-correlations in the Norwegian Stock Market. A discussion of the Efficient Market Hypothesis
Jespersen, Marte (Master thesis; Mastergradsoppgave, 2016-12-15)In this thesis we challenge the existence of weak efficiency in the Norwegian Stock Marked, by analysing time-lagged cross-correlations between log-return series from 811 stocks listed on the Oslo stock exchange and by creating prediction strategies based on the discovered patterns. We limit the strategies to predicting the direction of the movements of the time series only, i.e. either generating ...