Market declines triggered by the deviation from the random walk

Mieko Tanaka-Yamawaki () and Yumihiko S. Ikura
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Mieko Tanaka-Yamawaki: Meiji University
Yumihiko S. Ikura: Meiji University

Evolutionary and Institutional Economics Review, 2024, vol. 21, issue 2, No 5, 217-225

Abstract: Abstract We explore the possibility of predicting market declines caused by sudden deterioration of the random walk property of the time series using the RMT-test technique. Using one-second resolution price time series data for the TOPIX index values for approximately 10 years since 2011, we confirmed that many market declines occur after a sudden deterioration in random walk characteristics.

Keywords: Randomness; Time series prediction; Market decline; RMT-test; Random matrix theory (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s40844-023-00256-w

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