Tests / kyles_lambda_efficiency

Kyles Lambda Efficiency

CONSISTENTMonetary PolicyLOW confidence

Description

Figures

Kyle's Lambda: Market Efficiency (Yield Autocorrelation vs Stablecoin Mcap)Kyle's Lambda: Market Efficiency (Yield Autocorrelation vs Stablecoin Mcap)

Statistics

n74
p value0.0556
statistic-0.1867
p two tailed0.1112
mean abs autocorr0.2303
median abs autocorr0.2003

Script

thesis-tests/tests/applications/test_kyles_lambda.py

Reproduction Steps

cd thesis-tests && source ../.venv/bin/activate
python download_data.py --source all
python run_all.py --test test_kyles_lambda

Data Sources

  • FRED