"• Current prices reflect all security-market information, including the historical sequence of prices, rates of return, trading volume data, and other marketgenerated information. This implies that past rates of return and other market data should have no relationship with future rates of return Tests of Weak-Form EMH: Statistical tests of independence between rates of return • Autocorrelation tests: price change in one period is correlated with the price change in some other period • Runs tests: To test a series of price changes for independence, the number of runs in that series is compared to see whether it is statistically different from the number of runs in a purely random series of the same size. • Filter Rules Test: A filter rule is a trading rule regarding the actions to be taken when shares rise or fall in value by x%. Filter rules should not work if markets are weak form efficient. Source: http://in.docsity.com/en-docs/Testing_Market_Efficiency_-_Security_Analysis_and_Portfolio_Management_-_Solved_Quiz_"
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