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Hi Mark,
how are you? you are meaning rationality, perhaps ex-post, aren't you?
even if bubbles have been modelized under the hypothesis of rational
expectations, so that at least as long as the expected accelerating
returns are enough to compensate the risk of a crash it seems to be
rational to be invested.
But I was thinking to the very possibility that there may always be 100
bucks on the ground, because that's the equivalent of the inefficiency
of the market. (ok the bucks may be well hidden ..)
quanttrader714 wrote
>Hi Franco,
>
>I'm not sure that the concept of market efficiency as you've outlined
>it makes sense logically or empirically. Logically, it ignores trader
>and investor psychology which has been empirically demonstrated over
>time by market manias from tulips in 17th century Holland to the more
>recent internet/tech bubble.
>
>--- In amibroker@xxxxxxxxxxxxxxx, Franco Gornati <francogornati@xxxx>
>wrote:
>> Hi Pal,
>> I understand your point but the concept of efficiency, in the weak form,
>> in financial markets is intended in another sense. It means that it's
>> not possible to extract information (make a rule) from past prices that
>> allows to make extra profit. If there were, the nature of the markets
>> (competition) would clear it out very fast.
>> This would make any positive backtesting result (against a benchmark and
>> adjusted for the risk) a case of curve fitting.
>> But the fact that both logically and empirically (with reserves) it
>> seems acceptable doesn't mean it's true. So I would have liked to know
>> if systematic traders, like Fred, were consistently satisfied of their
>> approach.
>>
>> Pal Anand wrote
>> >Markets are efficient, but prices are not. Prices move wherever the
>> >markets lead them to in response to supply and demand. Prices tend to
>> >equalize supply and demand, in order to maintain the markets
>> >efficiency, ie., a free market's. But it does take time to maintain a
>> >markets efficiency. During this time, a seemingly random movement of
>> >the prices is a tug of war between bulls and bears responding to
>> >supply and demand.
>> >
>> >A market that is not free is not efficient because the prices are
>> >artificially controlled by a state monopoly (with no regard to profits
>> >and losses except the alledged public good) and not by the competition
>> >created by free market. In a fully free ("laisez-faire") market,
>> >monopolies cannot exist but for a brief duration in time before other
>> >producers enter the market and depress prices...
>> >
>> >rgds, Pal
>> >--- In amibroker@xxxxxxxxxxxxxxx, Franco Gornati <francogornati@xxxx>
>> >wrote:
>> >> Fred wrote
>> >> >Personally I prefer my braille trading system so I can "feel" it.
>> >>
>> >> Is it profitable? Are you doing better than the market? Don't
>> >> misunderstand me, i know you are consistent in your approach so you
>> >> can say better than anyone else if there is such inefficiency in the
>> >> market to allow extra profits from past prices only.
>> >>
>> >> --
>> >> Franco
>> >
>> >
>> >
>> >
>> >
>> >
>> >Check AmiBroker web page at:
>> >http://www.amibroker.com/
>> >
>> >Check group FAQ at:
>http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>> >Yahoo! Groups Links
>> >
>> >
>> >
>> >
>> >
>> >
>
>
>
>
>
>
>Check AmiBroker web page at:
>http://www.amibroker.com/
>
>Check group FAQ at: http://groups.yahoo.com/group/amibroker/files/groupfaq.html
>Yahoo! Groups Links
>
>
>
>
>
>
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