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Hi Franco,
Been busy, how about you? The well hidden $100 bills on the ground is
exactly my thinking on the matter. But the EMH theorist would say
that if they were real, someone would have already picked them up.
Personally, I put these folks in the same category as Mr. Duell:
"Everything that can be invented has already been invented."
-- Charles H. Duell, director of the U.S. Patent Office, 1899
--- In amibroker@xxxxxxxxxxxxxxx, Franco Gornati <francogornati@xxxx>
wrote:
> 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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