Identifying actionable serial correlations in financial markets

• Main Authors: Cheong, Siew Ann, Lee, Yann Wei, Li, Ying Ying, Lim, Jia Qing, Tan, Jadie Jiok Duan, Teo, Joan Xin Ping
• Other Authors: School of Physical and Mathematical Sciences
• Format: Article
• Language: English
• Published: 2021
• Subjects: Science::Mathematics; Financial Markets; Serial Correlations
• Online Access: https://hdl.handle.net/10356/151067
• Institution: Nanyang Technological University

Financial markets are complex systems where information processing occurs at multiple levels. One signature of this information processing is the existence of recurrent sequences. In this paper, we developed a procedure for finding these sequences and a process of statistical significance testing to...