An empirical data analysis of "price runs" in daily financial indices: Dynamically assessing market geometric distributional behavior.

In financial time series there are time periods in which market indices values or assets prices increase or decrease monotonically. We call those events "price runs", "elementary uninterrupted trends" or just "uninterrupted trends". In this paper we study the distribution of the duration of uninterrupted trends for the daily indices DJIA, NASDAQ, IPC and Nikkei 225 during the period of time from 10/30/1978 to 08/07/2020 and we compare the simple geometric statistical model with [Formula: see text] consistent with the EMH to the empirical data.