See above: everyday the appearance of market changes that is to say it is impossible to find a function that fits this appearance in advance. You can curve-fit each PAST day but you cannot fit (predict) FUTURE day if you only take appearance into account.
So it is not by trying to curve-fit this MOVING APPEARANCE that you will be able to predict the market. What doesn't change is the UNDERLYING STRUCTURE: for that it is possible to find a set of functions or equations to model it (except if the market is really driven by the crowd due to El Faroll problem you would give up straight away because it is just then impossible. But as I said above this premisce adopted by the overwhelming majority has been taken as false in my original hypothesis). But this structure is INVISIBLE you have to build a THEORY to SEE IT and then confront it with REALITY see Poincarré on "Science and Hypothesis" (
http://spartan.ac.brocku.ca/~lward/Poincare/Poincare_1905_01.html summarised here
http://www.utm.edu/research/iep/p/poincare.htm: Experience suggests scientific theories; but experience does not justify them. Experience alone is unable to falsify a theory, for the theory often corrects the experience. Experience is judged according to a theory. A central aim of science is prediction. ) or remember Plato and the Cave Allegory
:
Skepticism, or the Problem of Knowledge [Plato's allegory of the Cave]
"Imagine the condition of men living in a sort of cavernous chamber underground, with an entrance open to the light and a long passage all down the cave. Here they have been from childhood, chained by the leg and also by the neck, so that they cannot move and can see only what is in front of them...At some distance higher up is the light of a fire burning behind them; and between the prisoners and the fire is a...parapet...like the screen at a puppet show, which hides the performers while they show their puppets over the top...Now behind this parapet imagine persons carrying along various artificial objects, including figures of men and animals...which project above the parapet...Prisoners so confined would have seen nothing of themselves or of one another, except the shadows thrown by the firelight on the wall of the cave facing them...And they would have seen as little of the objects carried past...Now if they could talk to one another, would they not suppose that their words referred only to those pasing shadows that they saw?...In every way, then, such prisoners would recognize as reality nothing but the shadows of those artificial objects."
http://www.island.net/~dbruiger/doc_html/6.html - English
Quote from NUTSNEAL:
"History only happened once; with a sample size that small, how can it be relied on or even useful?"-Fisher Black
cannot correctly judge about "efficient vs. inefficient" because the underlying thesis/assumption about market behaviour & pdfs is wrong?