Join us from 4.30pm on Thursday, 24 November at Rise Cape Town where Stuart Reid (Quantitative Strategist at NMRQL and blogger at Turing Finance) will be presenting his R implementation of the heteroscedasticity-consistent variance ratio test developed by Lo and MacKinlay in 1988 to test the Random Walk Hypothesis. Stuart will then test whether or not the variance ratio test can distinguish between random fictitious securities and those traded on the JSE. Stuart will end off with some theories which could explain the results of the test, including the controversial Stable Paretian Hypothesis presented by Benoit Mandelbrot in 1963.
Registration is from 4.30pm with the presentation set to begin at 5pm. The talk should last 45mins after which Stuart is willing to take some questions and the rest of the time until 6.30pm is available for networking.
PLEASE NOTE: Seating is limited to 40 people and therefore subject to RSVP.