Meeting with Woglom

I met with Prof. Woglom today to narrow down the paper topic.  We settled on trying to adopt this one test we found in Andrew Lo's AMH paper (see below) and apply it on multiple stock exchanges.  First I will find any data I can about other stock exchanges (London, HK, China, etc.).  I plan to then run a test on the monthly returns of the stock index and to examine the first-order autocorrelation coefficients as a way to measure the efficiency of the market.  Another thing I plan to do is look for and read some case study papers on AMH (there's at least one I know of).