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LongShot 02-06-03 05:12 PM This person is on your Ignore List. To view this post click [here] What did you say???? :D

Oh, not again... :D Not another EMH battle. That guy has a few points but he's overdoing it b/c he seems to be plugging smth of his. Where he is wrong is that most EMH tests incorporate various non-parametric tests, and thus the distributional assumptions aren't that big a deal. PS. Markets...

Funny you should say that... I'm beginning to work on a paper that looks into smth very similar. That's why I asked about the possibility of trading on ECNs when smth is haulted (it's a bit related) in an earlier thread a few days ago. I do have the TAQ going back all the way to 1993 though...

No. And next time verify first, then post.

I would also appreciate it if you didn't put words into my mouth. If that's your interpretation of what I said, then state so, b/c I did not say what you assert I did. I did say the degree was helpful, but I didn't make the ridiculous claims you mention. For an "active trader" you seem to...

Gee, I'm flattered you guys talked about me while I was busy working on the fund and not posting :D. RS7, thanks for what you said in that thread. LongShot, clarification for you. The $5000 overnight loss you were referring to was at the time when the scale of the fund was substantially...

Yes. Why? You wanna prove me wrong? :confused: Unless you are sitting next to me and watching what I'm doing, I don't exactly see how you'd go about that.

What the @#$ was that about? I have no idea what you are talking about and it bears no resemblence to the truth whatsoever. Mind sharing your "sources"?

NYSE TAQ database.

I don't have to pretend anything, you on other other hand appeared to have to, until I burst your bubble. And while you are "trading and investing", I want you to know just how much I appreciate your efforts b/c they are paying for my new sports car.

Don't mean to be rude either, but you have no idea what you are talking about. Unless you have been truly exposed to those "endless" theories (read "have a PhD in the area"), you have no business judging them. What you were taught in an undergrad or masters finance course about those theories...

:( So I thought...

Ever heard of the "random walk with a drift" model? :)

:) Nice to see at least someone agrees the research done in academia is not in vain.

Ceteris paribus, there probably would be a down day, but all else is hardly ever equal.

I don't do long term studies (for the reasons I indicated), but the model that is typically used to adjust for normal (risk adjusted returns) is either Return_on_securityJ - Riskfreerate = Alpha + beta (MarketReturn-RiskFreerate) + error. Or the Fama-French three-factor model that adds...

Are you doing this on purpose to annoy me or do you actually believe what you say? The word easily meant that the models are easily applicable, not that the action is easy to predict. On the second frontier of your argument, you seem to have a very vague idea of how academics do research...

Those agents will sure try. But the benchmark (normal return given the level of risk etc) is harder to identify for longer horizons, as I indicated in my earlier post. "After commissions and insiders..." an average investor should expect to get a normal risk adjusted return less transaction...

Not quite sure I understood you correctly, but yes, to apply econometric/statistical analysis, what you are looking at has to be mechanical/objective. With the subjective approaches, you are as good as your judgement :D