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Yuki,
Although for the most part I wouldn't argue what a lot of what you've
said, if the markets are ignoring fundamentals and technicals what's
left ?
Additionally, I'm not at all sure that I want the efficiency that you
think is missing to return as the lack of it makes for the largest
opportunities IMO.
--- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx> wrote:
> Hi Fred,
>
> Monday, October 20, 2003, 7:12:30 AM, you wrote:
>
> F> IMHO fast desktop processors & programs like AB do for trading
what
> F> 3rd and then 4th generation programming languages did for
> F> programming. Unfortunately a lot of the time this just amounts
to
> F> more people making stupid decisions faster, especially after
they've
> F> all read the same theoretical texts.
>
> I'm not talking about theoretical texts or decisions. I'm talking
> about huge segments of daily volume, increasingly huge segments,
that
> are trading on a *complete* lack of sentiment or fundamental or even
> technical analysis. Such trading, like indexing, destroys to a
large
> extent the pricing efficiency of individual shares. This efficiency
> may return to some extent once the programs stop, but the programs
> can run the logical trader out of her position before rationality
> finally overrides (if indeed it can) what the programs have done.
And
> the programs never really stop now. These days *everything* is
> indexed, including the indexes themselves. ^^_^^ You just cannot
> escape such a huge influence on the market, one that has grown
> dramatically over the past few years, and one that looks to get even
> stronger in the future. Today's markets trade more and more, every
> day, on a basis that completely ignores fundamental or technical
> concerns. This is market behavior that is changing, IMO.
>
> Yuki
>
> F> --- In amibroker@xxxxxxxxxxxxxxx, Yuki Taga <yukitaga@xxxx>
wrote:
> >> Hi Fred,
> >>
> >> Monday, October 20, 2003, 6:38:20 AM, you wrote:
> >>
> >> F> Market behavior will continually change after that ...
> >>
> >> F> Change ? from what ? into what ? I guess this is the part I
> F> don't
> >> F> follow. To me there is nothing new in market behavior now
that
> >> F> didn't exist last month, last year, last decade, last
century,
> F> but
> >> F> clearly those that take a short sighted view of history and
the
> >> F> market action that made up that history will clearly never
see
> F> it.
> >> F> It's a forest and trees thing ...
> >>
> >> In terms of human behavior, nothing has changed, and nothing is
> >> likely to change anytime soon. But there have been not-so-subtle
> >> changes in market behavior. I would cite as one example, the
> >> explosion in program trading. We all know this bogeyman has been
> >> around for a while (remember, it was the scapegoat in 1987, when
it
> >> was just a small sliver of the total pie), but I wonder just how
> F> many
> >> people understand what a market driver this has come to be,
dwarfing
> >> its influence of just a few years ago.
> >>
> >> About a decade ago, programs accounted for about 15 percent of
total
> >> volume. Today, programs are accounting for more than 40 percent
of
> >> total volume (more than 500 million shares a day in the US, or
> F> nearly
> >> the entire average daily volume of just a decade ago) and the
> >> percentage of volume attributable to programs seems only to rise.
> F> So
> >> there is one instance in which I would suggest that market
behavior
> >> has changed. However, I largely subscribe to the spirit of what
you
> >> are saying.
> >>
> >> Yuki
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