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Bob:
Actually, one of the professors I had in 'higher' mathematics [Imaginary number
systems, string theory, etc], was Dr. Pan. When I left to work as economist,
much to my surprise, Dr. Pan was hired as the resident 'thinker,' which meant he
had a nice office that had four blackboards for walls. We'd go to him and tell
him what we were trying to model and he'd help brainstorm the theories.
About eight years later, the trading group I was managing did a term-buyout of
Oconnor in Chicago and when we finally got our hands dirty, who should I find
driving the theoretical financial modeling: Dr. Pan...
Funny, I don't remember him teaching that the markets were anything other than
random. Maybe it's time for me to go back to school? By the way, are the papers
fairly readable?
Best,
Tim Morge
Bob Fulks wrote:
>
> I was just reading an excellent new book by said Dr. Lo, "The Econometrics
> of Financial Markets", 1997, It is actually by three authors:
>
> John Campbell,
> Otto Eckstein Professor of Applied Economics at Harvard Un.,
> Andrew Lo,
> Harris & Harris Group Professor at the Sloan School of
> Management at MIT, and
> Craig MacKinlay, Professor of Finance at the Wharton School,
> Un. of Pennsylvania.
>
> Chapter 2 spends over 50 pages summarizing dozens of technical papers
> published in prestigious economic journals that addressed predicability of
> the markets and tests of the Random Walk Hypothesis. In the conclusion of
> the chapter, Section 2.9, they state:
>
> Looks as if these teachers are finally getting the right idea!
>
> Bob Fulks
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