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I guest lecture at both schools and your analysis is somewhat flawed. It is
true that Random Walk has some flaws...but they are not going going to run
with TA. What they are looking at studying is the abnormal shape of price
distributions. For the last half dozen years stock distributions have been
in an extended period of fat tails. This is a major issue and a good deal
of time and money is being spent trying to better understand this issue.
The are only existing TA programs that I know of at fully accredited
programs are the ones at Golden Gate and IIT in the traders program..and I'm
not certain that the IIT program still is ongoing.
swp wrote:
> The point is that MIT and Wharton are prepared to admit that random walk
> is bogus and that technical analysis can thus theoretically work. I
> think Andrew Lo is one of the authors of "A Non-Random Walk Down Wall
> Street". And, I believe Wharton and the Market Technicians Assoc. have
> announced or are prepared to announce an agreement to put together a TA
> curriculum jointly.
>
> ---
> Steven W. Poser, President
> Poser Global Market Strategies Inc.
>
> url: http://www.poserglobal.com
> email: swp@xxxxxxxxxxxxxxx
>
> Tel: 201-995-0845
> Fax: 201-995-0846
> ----- Original Message -----
> From: THE DOCTOR <droex@xxxxxxxxxxxx>
> To: <bfulks@xxxxxxxxxxxx>
> Cc: <realtraders@xxxxxxxxxxxxxxx>; <swp@xxxxxxxxxxxxxxx>
> Sent: Friday, December 03, 1999 10:40 AM
> Subject: Re: [RT] Re: [realtraders] Tech analysis - waste of time? {04}
>
> > There is a "trading Lab" at MIT which is a state of the art trading
> room ..... it
> > has nothing to do with TA.
> >
> > Bob Fulks wrote:
> >
> > > At 11:37 PM -0800 11/29/99, Rajat K. Bose wrote:
> > >
> > > >By the Steven, you wrote that Wharton and MIT are about to start
> > > >teaching TA--when and in which program, could you just let me know?
> > >
> > > Attached below is a copy of my post of 5/19/99 with more detail on
> this topic:
> > >
> > > Bob
> > >
> > > At 9:54 PM -0400 5/18/99, Jim White wrote:
> > >
> > > >The conclusion is that markets exhibit dependencies in the short
> term which
> > > >do render them to be forecastable over the short term. Ralph
> Ancampora has
> > > >even indicated that some of the most prestigious business schools
> wiil soon
> > > >be teaching market timing techniques to their students.
> > >
> > > I believe the many "prestigious business schools" are already doing
> this. I
> > > have seen the plans of a "Trading Lab" at some business school, (I
> think it
> > > might have been MIT). And respected professors have written books
> related
> > > to the subject.
> > >
> > > I recently read an excellent book, "The Econometrics of Financial
> Markets",
> > > 1997, 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:
> > >
> > > "Recent econometric advances and empirical evidence seem to
> > > suggest that financial asset returns are predictable to some
> > > degree. Thirty years ago this would have been tantamount to
> > > an outright rejection of market efficiency. However, modern
> > > financial economics teaches us that other, perfectly rational
> > > factors may account for such predictability. The fine
> > > structure of securities markets and frictions in the trading
> > > process can generate predictability. Time-varying expected
> > > returns due to changing business conditions can generate
> > > predictability. A certain degree of predictability may be
> > > necessary to reward investors for bearing certain dynamic
> > > risks. Motivated by these considerations, we shall develop
> > > many models and techniques to address these and other related
> > > issues in the coming chapters."
> > >
> > > Looks as if these teachers are finally getting the right idea!
> > >
> > > Bob Fulks
> >
> >
> >
> >
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