Trend, Mean-Reversion or Random Walk? A Statistical Analysis of Price Behavior in Major Markets

20 Pages Posted: 2 May 2016 Last revised: 11 May 2016

See all articles by Theo Athanasiadis

Theo Athanasiadis

Ramsey Quantitative Systems, Inc. (RQSI)

Date Written: May 1, 2016


We examine the price behavior of 56 major markets over the last 16 years applying a set of univariate and multivariate robust statistical tests across different time frequencies. Our results can be considered as an augmented true out-of-sample test of all previous research testing for time-series independence. We find no statistically significant evidence that price movements in calendar time scale consistently deviate from randomness. There are only limited departures that are split between trend and mean-reversion depending on the time frame, prices (spot or futures) and assets studied, but even those cases have to be interpreted with caution since we tested a large number of assets increasing the probability of Type I error. Our univariate results are also confirmed by the multivariate analysis that examines the joint distribution of assets using a pooled panel regression. Finally, comparing our results to previous research we find evidence that price dynamics change over time highlighting the difficulty of identifying price patterns ex-ante.

Keywords: Trend, Mean-reversion, Random walk hypothesis, Autocorrelation, Kendall’s tau, Variance ratio test, Runs test, Pooled Regression

JEL Classification: C14, C22, C23, G14, G15

Suggested Citation

Athanasiadis, Theodosios, Trend, Mean-Reversion or Random Walk? A Statistical Analysis of Price Behavior in Major Markets (May 1, 2016). Available at SSRN: or

Theodosios Athanasiadis (Contact Author)

Ramsey Quantitative Systems, Inc. (RQSI) ( email )

1515 Ormsby Station Ct.
Louisville, KY 40223
United States

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