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37993: The Signal and the Noise: The Art and Science of Prediction - Silver, Nate

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Specifically, a linear regression of the sign of that day?s stock price (1 indicating a positive movement and ?1 indicating a negative movement) on the previous day?s stock price. The trend is also highly statistically significant if you take a regression of the percentage change in the stock price on the previous day?s percentage change. Note, however, that standard forms of regression analysis assume that errors are normally distributed, whereas the stock market does not obey a normal distribution. Economists like Fama think this is a problem when applying standard statistical tests to analyze patterns in stock prices.

The Signal and the Noise: The Art and Science of Prediction by Silver, Nate
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