Random OR Non-random Walk?

duard · Oct 20, 2005

There are times when the market switches from random to non-random behavior and that is when "fat tails" in all time frames exert their collective influence. Dependence both short- and long-term also exert a non-random effect.

Sound familiar-- Mandelbrot.

This has been "proven."

But now take this and apply it in a useful fashion and you're set.

jem · Oct 20, 2005

Nadaq 5000 to Nasdaq 2000 in a very short time. All with negative earnings. How can that have been an efficient market.

vision3001 · Oct 20, 2005

Cool stuff

1. http://en.wikipedia.org/wiki/Benoit_Mandelbrot
2. http://www.math.yale.edu/mandelbrot/
3. Video stream of Mandelbrot lecturing at MIT: http://mitworld.mit.edu/play/52/
4. A Fractal Analysis of Foreign Exchange Markets: http://www.highbeam.com/library/doc0.asp?DOCID=1G1:59876179&refid=holomed_1

Quote from duard:

There are times when the market switches from random to non-random behavior and that is when "fat tails" in all time frames exert their collective influence. Dependence both short- and long-term also exert a non-random effect.

Sound familiar-- Mandelbrot.

This has been "proven."

But now take this and apply it in a useful fashion and you're set.

vision3001 · Oct 20, 2005

Quote from jem:

Nadaq 5000 to Nasdaq 2000 in a very short time. All with negative earnings. How can that have been an efficient market.

I recall reading Fama's comment on the Great Depression and Asian Financial crisis as a corrections in the market and further maintained that it's a normal in an efficient market to have corrections. Thus, I would presume that the would refer to the recent Nasdaq crash as yet another correction?

PS: I've yet to fully grasp his concept of such correction viz a viz EMT.

hypostomus · Oct 20, 2005

The molecule that is being propelled in a straight line by Brownian motion probably believes it's hot shit.

harrytrader · Oct 20, 2005

Postulating is nothing but scientific and it's a long time that even academics now recognize that efficiency has nothing to do with random walk.

But yet Market tends to be efficient because it's just the aim of the market: rip off the profits mostly for manipulators and insiders, only the mass of naÃ¯ve can think efficiency comes from a "free" market. The market is not free it is controlled but a special control which create artificial chaos.

nononsense · Oct 20, 2005

Quote from kut2k2:

Who was talking about AMH (adaptive market hypothesis) in 1945?

didn't talk about your AMH

if you would know a bit more about system theory, you might understand why I picked some date about 1945 for "academics" losing their pants randomly or not in the market ever since.

OddTrader · Oct 20, 2005

Quote from harrytrader:

Postulating is nothing but scientific and it's a long time that even academics now recognize that efficiency has nothing to do with random walk.

But yet Market tends to be efficient because it's just the aim of the market: rip off the profits mostly for manipulators and insiders, only the mass of naÃ¯ve can think efficiency comes from a "free" market. The market is not free it is controlled but a special control which create artificial chaos.

Looks like: Winners would call it Non-random while others Random.

dont · Oct 20, 2005

Quote from harrytrader:

even academics now recognize that efficiency has nothing to do with random walk.

Exactly! and of course you can make money if its Random, you don't need to to predict.

And yes its basically efficient because of insiders taking out the bulk.

Although I still think most of the time Insiders also lose their shirts.

nononsense · Oct 20, 2005

Quote from dont:

Exactly! and of course you can make money if its Random, you don't need to to predict.
...

Certainly you can (if you're smart enough and your "market" is "polite" enough). In my language, you would be "predicting" though. "Predicting" being an old-fashionable-ET-riddle, don't expect nononsense to change anything.