mà nhà nghiên cứu học thuật không quan tâm đến hay không phụ thuộc trong hàng loạt thay đổi giá cả có thể được sử dụng để tăng lợi nhuận dự kiến . Thay vào đó, ông là chủ yếu liên quan với việc xác định liệu các giả định độc lập là một mô tả chính xác về thực tại. Về bản chất, ông đề xuất rằng chúng tôi xử lý độc lập như là | BEHAVIOR OF STOCK-MARKET PRICES 85 that the academic researcher is not interested in whether the dependence in series of price changes can be used to increase expected profits. Rather he is primarily concerned with determining whether the independence assumption is an exact description of reality. In essence he proposes that we treat independence as a extreme null hypothesis and test it accordingly. At this time we will ignore important counterarguments as to whether a strict test of an extreme null hypothesis is likely to be meaningful given that for practical purposes the hypothesis would seem to be a valid approximation to reality for both the statistician and the investor. We simply note that a signs test applied to the profit figures in column 1 of Table 16 would not reject the extreme null hypothesis of independence for any of the standard significance levels. Sixteen of the profit figures in column 1 are positive and fourteen are negative which is not very far from the even split that would be expected under a pure random model without trends in the price levels. If we allowed for the long-term upward bias of the market the results would conform even more closely to the predictions of the strict null hypothesis. Thus the results produced by the filter technique do not seem to overturn the independence assumption of the randomwalk model regardless of how strictly that assumption is interpreted. Finally we emphasize again that these results must be regarded as preliminary. Many more complicated analyses of the filter technique are yet to be completed. For example although average profits per filter do not compare favorably with buy-and-hold there may be particular filters which are consistently better than buy-and-hold for all securities. We prefer however to leave such issues to a later paper. For now suffice it to say that preliminary results seem to indicate that the filter technique does not overturn the independence assumption of the randomwalk model. D.
