Is It Real, Or Is It Randomized?: A Financial Turing Test

The authors construct a financial "Turing test" to determine whether human subjects can differentiate between actual vs. randomized financial returns. The experiment consists of an online video-game (http://arora.ccs.neu.edu) where players are challenged to distinguish actual financial market returns from random temporal permutations of those returns. They find overwhelming statistical evidence (p-values no greater than 0.5%) those subjects can consistently distinguish between the two types of time series, thereby refuting the widespread belief that financial markets "Look random".