Random OR Non-random Walk?
- Thread starter vision3001
- Start date
Given the context, pepper_john's post was about AMH. That's why I queried your reply, which I now see is a non sequitur.Quote from nononsense:
didn't talk about your AMHQuote from kut2k2:
Who was talking about AMH (adaptive market hypothesis) in 1945?Quote from nononsense:
> pepper_john: "adaptive market is becoming more popular among academics."
It has been since about 1945 and an impressive line of "academics" lost their pants in the market, with or without random walk.
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.
pepper & kut both posted under thread:Quote from kut2k2:
Given the context, pepper_john's post was about AMH. That's why I queried your reply, which I now see is a non sequitur.
Random OR Non-random Walk?
In the end someone who understamds the difference between random and efficient market.
Market can be random but yet non-efficient, for example, if it has memory.
EMH goes against common sense, IMO. People rise to the top in any profession.
Everyone knows the rules of golf. You just hit a ball in a hole. No one has any great physical advantage. Every market participant has the same information. There's only so many ways that you can swing a club. Everyone knows the rules. But there's only one Tiger Woods.
It's the same in movie making, poker, teaching, acting, music, marketing. People get ahead because of their mental of physical advantages. Why investing would be *special* or different from any other activity just doesn't make sense....
Google at $100 billion!!! doesn't sound very efficient....
Everyone knows the rules of golf. You just hit a ball in a hole. No one has any great physical advantage. Every market participant has the same information. There's only so many ways that you can swing a club. Everyone knows the rules. But there's only one Tiger Woods.
It's the same in movie making, poker, teaching, acting, music, marketing. People get ahead because of their mental of physical advantages. Why investing would be *special* or different from any other activity just doesn't make sense....
Google at $100 billion!!! doesn't sound very efficient....
These are various literature (papers, books & patents, total 237mb) relating to Efficient Market Hypothesis, Technical Analysis, Empirical evidences for
non-random & random walk in the market.
Those who can, profit. Those who can't, more theories.
Enjoy.
Download here:
Primary: http://www.megaupload.com/?d=ZN81D5XA
Mirror 1: http://www.megaupload.com/?d=3L8ELA1X
Mirror 2: http://patentmapping.com/temp/Empirical_EMH-TA.zip
Content of the 230mb zipfile "Empirical_EMH-TA.zip":
Publications
------------
A Comparison of Trading and Non-Trading Mechanisms for Price Discovery.pdf
A fractal analysis of foreign exchange markets.pdf
A NEW PERSPECTIVE ON THE ANOMALIES IN THE MONTHLY CLOSINGS OF THE DOW JONES INDUSTRIAL AVERAGE.pdf
A Non-Random Walk Down Wall Street.zip
A Random Walk or Color Chaos on the Stock Market Time-Frequency Analysis of S&P Indexes.pdf
A Refined MACD Indicator Evidence against the Random Walk Hypothesis.pdf
A Study of the Efficiency of the Foreign Exchange Market through Analysis of Ultra-High Frequency Data.zip
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets - Hong &Stein.pdf
A Variance-Ratio Test of Random Walks in Foreign Exchange Rates.pdf
An analysis of the advance-decline line as a stock market indicator.pdf
An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index.pdf
AN EMPIRICAL ANALYSIS OF STOCK MARKET SENTIMENT.pdf
An empirical behavioral model of price formation.pdf
An empirical comparison of moving average envelopes and Bollinger Bands.pdf
An Evolutionary Approach to Technical Trading and Capital Market Efficiency - The Wharton School.pdf
Back to the future- an empirical investigation into the validity of stock index models over time.pdf
Behavior and Performance of Investment Newsletter Analysts - Yale School of Mgt.pdf
Black-Scholes Option Pricing Using Three Volatility Models- Moving Average, GARCH(1, 1), and Adaptive GARCH.pdf
Can channel pattern trading be profitably automated.pdf
Can the Neuro Fuzzy Model Predict Stock Indexes Better than its Rivals.pdf
Capital Asset Pricing Model & Mutual Fund Performance Studies - Review and Evidence.pdf
Chartist Prediction in the Foreign Exchange Market - Ahrens &Reitz.pdf
Classical doctrines and alternatives in decision-making under risk with respect to asset price dynamics.pdf
Comprehensibility, Overfitting and Co-Evolution in Genetic Programming for Technical Trading Rules.pdf
Cultural and stock price clustering- Evidence from the People's Republic of China - Brown Mitchell.pdf
Currency Orders and Exchange Rate Dynamics- An Explanation for the Predictive Success ofTechnical.pdf
Currency Traders and Exchange Rate Dynamics - Cheung &Chinn.pdf
Day of the Week Effects- Recent Evidence from Nineteen Stock Markets.pdf
Day-trading with candlesticks and moving averages.pdf
Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns.pdf
Do Behavioral Biases Affect Prices.pdf
Do Futures and Options trading increase stock market volatility.pdf
Do Momentum Based Strategies Still Work In Foreign Currency.pdf
Do Stocks Follow the Random Walk in Latvian Stock Market.pdf
Does Noise Trader Risk Limit Arbitrage Activities.pdf
Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets.pdf
Empirical test of changes in autocorrelation of stock index returns.pdf
Empirical tests of changes in autocorrelation of stock index returns.pdf
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis.pdf
Estimation Risk, Market Efficiency, and the Predictability of Returns.pdf
Evidence of Predictable Behavior of Security Returns.pdf
Exchange rate changes and net positions of speculators in the futures market - Klitgaard and Weir.pdf
Expected Returns and Liquidity Premium on the Paris Bourse- an Empirical Investigation.pdf
FINANCIAL DATA ANALYSIS WITH TWO SYMMETRIC DISTRIBUTIONS.pdf
Forecasting Time-dependent Conditional Densities- A Seminonparametric Neural Network Approach.pdf
Foundations of Technical Analysis - Lo, Mamaysky &Wang.pdf
Foundations of Technical Analysis- Computational Algorithms, Statistical Inference, and Empirical Implementation.pdf
Further insights on the puzzle of technical analysis profitability.pdf
Futures Trading and Market Information.pdf
Going Back to the Basics - Rethinking Market Efficiency.pdf
Head & Shoulders- not just a flaky pattern - Osler Chang, Federal Reserve Bank of New York.pdf
High Frequency Exchange Rate Forecasting - Fiess &MacDonald.pdf
HIGH-FREQUENCY DISTRIBUTION OF FOREIGN EXCHANGE CHANGES.pdf
How rewarding is technical analysis- Evidence from Singapore stock market.pdf
How the Equity Market Responds to Unanticipated Events.pdf
How to reconcile Market Efficiency and Technical Analysis.pdf
Implied Volatility Indices as Leading Indicators of Stock Index Returns - Pierre Giot.pdf
Index funds and stock market growth - William Goetzmann.pdf
Institutional Trading and Return Autocorrelation- Empirical Evidence on Polish Pension Fund Investors' Behavior.pdf
Institutional Trading and Stock Returns - Cai &Zheng.pdf
International Momentum Effects- A Reappraisal of Empirical Evidence.pdf
Intraday Return Volatility Process- Evidence from NASDAQ Stocks.pdf
Investigating the Profitability of Technical Analysis Systems on Foreign Exchange Markets.pdf
Investor sentiment and the cross-section of stock returns - Baker &Wurgler.pdf
Is technical analysis in the foreign exchange market profitable - St. Louis Federal Reserve Bank.pdf
Is There Private Information in the FX Market The Tokyo Experiment.pdf
Limited Arbitrage in Equity Markets.pdf
Liquidity and Autocorrelations in Individual Stock Returns.pdf
Logarithmic Stock Returns leptokurtosis, heteroskedasticity and change points.pdf
Long-Term Memory in Stock Market Prices.pdf
Macroeconomic Implications of the Beliefs &Behavior of Foreign Exchange Traders - UC Santa Cruz.pdf
Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market.pdf
Market Timing- A Test of a Charting Heuristic - Leigh, Paz &Purvis.pdf
Mean and variance causality between the Cyprus Stock Exchange and major equity markets.pdf
Measuring Efficiency of a Market in Transition- The Ugandan Foreign Exchange Market.pdf
Mimickers of Corporate Insiders Who Make Large-Volume Trades.pdf
MODELING AND FORECASTING REALIZED VOLATILITY.pdf
Modelling and Forecasting Exchange Rate Dynamics in Jamaica- An Application of Asymmetric Volatility Models.pdf
Momentum and Turnover - Evidence from the German Stock Market.pdf
Neural Networks for Technical Analysis- A Study On KLCI.pdf
New Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory- A Study of Technical Analysis - Neftci.pdf
Non-linear financial time series forecasting - Application to the Bel 20 stock market index.pdf
Nonlinearities and Cyclical Behavior- The Role of Chartists and Fundamentalists - Westerhoff &Reitz.pdf
Number Preference In Australian Stock Prices - Chris Doucouliagos.pdf
On Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns.pdf
On Speculative Prices and Random Walks A Denial.pdf
Optimizing technical trading strategies- making the ludicious lucrative.pdf
Partial Revelation of Information in Experimental Asset Markets.pdf
Performance of Candlestick Analysis on Intraday Futures Data.pdf
PhD-A Random Walk through the Stock Market.pdf
PhD-News and Trading Rules.pdf
PhD-Random Walk Hypotheses and Profitability of Momentum Based Trading Rules.pdf
PhD-Technical Analysis in Financial Markets, Gerwin A. W. Griffioen, University of Amsterdam.pdf
PhD-TESTING FOR ROMANIAN CAPITAL MARKET EFFICIENCY.ppt
Portfolio optimization, hidden Markov models, and technical analysis of PnF-Charts.pdf
Predicci¢n de Volatilidad y Precios de las Opciones- El caso del Ibex-35.pdf
Predictability of short-horizon returns in international equity markets.pdf
Predictability of Stock Returns and Consumption-based CAPM- Evidence from a Small Open Market.pdf
Predicting Stock Returns in an Efficient Market.pdf
PREVISIBILITE DES RENTABILITES SUR LE MARCHE JAMAICAIN DES ACTIONS.pdf
Price clustering and natural resistance points in the Dutch stock market- a natural experiment.pdf
Price Exhaustion and Number Preference- time and price confluence in Australian stock prices - Hristos Doucouliagos.pdf
Price Movements in Speculative Markets- Trends or Random Walks.pdf
Pricing Effects of Recognition versus Disclosure- Evidence from Firms Recognition of Employee Stock Option Expense.pdf
Profitability of Momentum Strategies in the International Equity Markets - Chan, Hameed & Tong.pdf
Profitability of Momentum Strategies in the International Equity Markets.pdf
Profitability of Momentum Strategies- Application of Novel Risk_Return Ratio Stock Selection Criteria.pdf
Profits from technical trading rules.pdf
Psychological Barriers in Gold Prices - Brian Lucey.pdf
Returns to Buying Winners and Selling Losers- Implications for Stock Market Efficiency.pdf
Simple technical trading rules and the stochastic properties of stock returns.pdf
Smoke and Mirrors_ Charting and Technical Analysis - Aswath Damodaran.pdf
Some A Posteriori Probabilities in Stock Market Action.pdf
SOME EMPIRICS OF THE TURKISH STOCK MARKET.pdf
STOCHASTIC VOLATILITY IN A QUANTITATIVE MODEL OF STOCK MARKET RETURNS.pdf
Stock index and price dynamics in the UK and the US, new evidence from a trading rule and Statistical analysis.pdf
Stock Market Forecasting.pdf
Stock Market Trading Rule Discovery Using Technical Charting Heuristics.pdf
Stock Price Patterns around Directors Trades on the London Stock Exchange.pdf
Stock Prices- Random vs. Systematic Changes.pdf
Stock Return Predictability- Is it There.pdf
Stock timing using genetic algorithms.pdf
Stop Loss Orders and Price Cascades in :
:
:
non-random & random walk in the market.
Those who can, profit. Those who can't, more theories.
Enjoy.
Download here:
Primary: http://www.megaupload.com/?d=ZN81D5XA
Mirror 1: http://www.megaupload.com/?d=3L8ELA1X
Mirror 2: http://patentmapping.com/temp/Empirical_EMH-TA.zip
Content of the 230mb zipfile "Empirical_EMH-TA.zip":
Publications
------------
A Comparison of Trading and Non-Trading Mechanisms for Price Discovery.pdf
A fractal analysis of foreign exchange markets.pdf
A NEW PERSPECTIVE ON THE ANOMALIES IN THE MONTHLY CLOSINGS OF THE DOW JONES INDUSTRIAL AVERAGE.pdf
A Non-Random Walk Down Wall Street.zip
A Random Walk or Color Chaos on the Stock Market Time-Frequency Analysis of S&P Indexes.pdf
A Refined MACD Indicator Evidence against the Random Walk Hypothesis.pdf
A Study of the Efficiency of the Foreign Exchange Market through Analysis of Ultra-High Frequency Data.zip
A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets - Hong &Stein.pdf
A Variance-Ratio Test of Random Walks in Foreign Exchange Rates.pdf
An analysis of the advance-decline line as a stock market indicator.pdf
An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index.pdf
AN EMPIRICAL ANALYSIS OF STOCK MARKET SENTIMENT.pdf
An empirical behavioral model of price formation.pdf
An empirical comparison of moving average envelopes and Bollinger Bands.pdf
An Evolutionary Approach to Technical Trading and Capital Market Efficiency - The Wharton School.pdf
Back to the future- an empirical investigation into the validity of stock index models over time.pdf
Behavior and Performance of Investment Newsletter Analysts - Yale School of Mgt.pdf
Black-Scholes Option Pricing Using Three Volatility Models- Moving Average, GARCH(1, 1), and Adaptive GARCH.pdf
Can channel pattern trading be profitably automated.pdf
Can the Neuro Fuzzy Model Predict Stock Indexes Better than its Rivals.pdf
Capital Asset Pricing Model & Mutual Fund Performance Studies - Review and Evidence.pdf
Chartist Prediction in the Foreign Exchange Market - Ahrens &Reitz.pdf
Classical doctrines and alternatives in decision-making under risk with respect to asset price dynamics.pdf
Comprehensibility, Overfitting and Co-Evolution in Genetic Programming for Technical Trading Rules.pdf
Cultural and stock price clustering- Evidence from the People's Republic of China - Brown Mitchell.pdf
Currency Orders and Exchange Rate Dynamics- An Explanation for the Predictive Success ofTechnical.pdf
Currency Traders and Exchange Rate Dynamics - Cheung &Chinn.pdf
Day of the Week Effects- Recent Evidence from Nineteen Stock Markets.pdf
Day-trading with candlesticks and moving averages.pdf
Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns.pdf
Do Behavioral Biases Affect Prices.pdf
Do Futures and Options trading increase stock market volatility.pdf
Do Momentum Based Strategies Still Work In Foreign Currency.pdf
Do Stocks Follow the Random Walk in Latvian Stock Market.pdf
Does Noise Trader Risk Limit Arbitrage Activities.pdf
Empirical Evidence on Feedback Trading in Mature and Emerging Stock Markets.pdf
Empirical test of changes in autocorrelation of stock index returns.pdf
Empirical tests of changes in autocorrelation of stock index returns.pdf
Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis.pdf
Estimation Risk, Market Efficiency, and the Predictability of Returns.pdf
Evidence of Predictable Behavior of Security Returns.pdf
Exchange rate changes and net positions of speculators in the futures market - Klitgaard and Weir.pdf
Expected Returns and Liquidity Premium on the Paris Bourse- an Empirical Investigation.pdf
FINANCIAL DATA ANALYSIS WITH TWO SYMMETRIC DISTRIBUTIONS.pdf
Forecasting Time-dependent Conditional Densities- A Seminonparametric Neural Network Approach.pdf
Foundations of Technical Analysis - Lo, Mamaysky &Wang.pdf
Foundations of Technical Analysis- Computational Algorithms, Statistical Inference, and Empirical Implementation.pdf
Further insights on the puzzle of technical analysis profitability.pdf
Futures Trading and Market Information.pdf
Going Back to the Basics - Rethinking Market Efficiency.pdf
Head & Shoulders- not just a flaky pattern - Osler Chang, Federal Reserve Bank of New York.pdf
High Frequency Exchange Rate Forecasting - Fiess &MacDonald.pdf
HIGH-FREQUENCY DISTRIBUTION OF FOREIGN EXCHANGE CHANGES.pdf
How rewarding is technical analysis- Evidence from Singapore stock market.pdf
How the Equity Market Responds to Unanticipated Events.pdf
How to reconcile Market Efficiency and Technical Analysis.pdf
Implied Volatility Indices as Leading Indicators of Stock Index Returns - Pierre Giot.pdf
Index funds and stock market growth - William Goetzmann.pdf
Institutional Trading and Return Autocorrelation- Empirical Evidence on Polish Pension Fund Investors' Behavior.pdf
Institutional Trading and Stock Returns - Cai &Zheng.pdf
International Momentum Effects- A Reappraisal of Empirical Evidence.pdf
Intraday Return Volatility Process- Evidence from NASDAQ Stocks.pdf
Investigating the Profitability of Technical Analysis Systems on Foreign Exchange Markets.pdf
Investor sentiment and the cross-section of stock returns - Baker &Wurgler.pdf
Is technical analysis in the foreign exchange market profitable - St. Louis Federal Reserve Bank.pdf
Is There Private Information in the FX Market The Tokyo Experiment.pdf
Limited Arbitrage in Equity Markets.pdf
Liquidity and Autocorrelations in Individual Stock Returns.pdf
Logarithmic Stock Returns leptokurtosis, heteroskedasticity and change points.pdf
Long-Term Memory in Stock Market Prices.pdf
Macroeconomic Implications of the Beliefs &Behavior of Foreign Exchange Traders - UC Santa Cruz.pdf
Market Efficiency, Time-Varying Volatility and Equity Returns in Bangladesh Stock Market.pdf
Market Timing- A Test of a Charting Heuristic - Leigh, Paz &Purvis.pdf
Mean and variance causality between the Cyprus Stock Exchange and major equity markets.pdf
Measuring Efficiency of a Market in Transition- The Ugandan Foreign Exchange Market.pdf
Mimickers of Corporate Insiders Who Make Large-Volume Trades.pdf
MODELING AND FORECASTING REALIZED VOLATILITY.pdf
Modelling and Forecasting Exchange Rate Dynamics in Jamaica- An Application of Asymmetric Volatility Models.pdf
Momentum and Turnover - Evidence from the German Stock Market.pdf
Neural Networks for Technical Analysis- A Study On KLCI.pdf
New Trading Rules in Financial Markets and Wiener-Kolmogorov Prediction Theory- A Study of Technical Analysis - Neftci.pdf
Non-linear financial time series forecasting - Application to the Bel 20 stock market index.pdf
Nonlinearities and Cyclical Behavior- The Role of Chartists and Fundamentalists - Westerhoff &Reitz.pdf
Number Preference In Australian Stock Prices - Chris Doucouliagos.pdf
On Distinguishing Between Rationales for Short-Horizon Predictability of Stock Returns.pdf
On Speculative Prices and Random Walks A Denial.pdf
Optimizing technical trading strategies- making the ludicious lucrative.pdf
Partial Revelation of Information in Experimental Asset Markets.pdf
Performance of Candlestick Analysis on Intraday Futures Data.pdf
PhD-A Random Walk through the Stock Market.pdf
PhD-News and Trading Rules.pdf
PhD-Random Walk Hypotheses and Profitability of Momentum Based Trading Rules.pdf
PhD-Technical Analysis in Financial Markets, Gerwin A. W. Griffioen, University of Amsterdam.pdf
PhD-TESTING FOR ROMANIAN CAPITAL MARKET EFFICIENCY.ppt
Portfolio optimization, hidden Markov models, and technical analysis of PnF-Charts.pdf
Predicci¢n de Volatilidad y Precios de las Opciones- El caso del Ibex-35.pdf
Predictability of short-horizon returns in international equity markets.pdf
Predictability of Stock Returns and Consumption-based CAPM- Evidence from a Small Open Market.pdf
Predicting Stock Returns in an Efficient Market.pdf
PREVISIBILITE DES RENTABILITES SUR LE MARCHE JAMAICAIN DES ACTIONS.pdf
Price clustering and natural resistance points in the Dutch stock market- a natural experiment.pdf
Price Exhaustion and Number Preference- time and price confluence in Australian stock prices - Hristos Doucouliagos.pdf
Price Movements in Speculative Markets- Trends or Random Walks.pdf
Pricing Effects of Recognition versus Disclosure- Evidence from Firms Recognition of Employee Stock Option Expense.pdf
Profitability of Momentum Strategies in the International Equity Markets - Chan, Hameed & Tong.pdf
Profitability of Momentum Strategies in the International Equity Markets.pdf
Profitability of Momentum Strategies- Application of Novel Risk_Return Ratio Stock Selection Criteria.pdf
Profits from technical trading rules.pdf
Psychological Barriers in Gold Prices - Brian Lucey.pdf
Returns to Buying Winners and Selling Losers- Implications for Stock Market Efficiency.pdf
Simple technical trading rules and the stochastic properties of stock returns.pdf
Smoke and Mirrors_ Charting and Technical Analysis - Aswath Damodaran.pdf
Some A Posteriori Probabilities in Stock Market Action.pdf
SOME EMPIRICS OF THE TURKISH STOCK MARKET.pdf
STOCHASTIC VOLATILITY IN A QUANTITATIVE MODEL OF STOCK MARKET RETURNS.pdf
Stock index and price dynamics in the UK and the US, new evidence from a trading rule and Statistical analysis.pdf
Stock Market Forecasting.pdf
Stock Market Trading Rule Discovery Using Technical Charting Heuristics.pdf
Stock Price Patterns around Directors Trades on the London Stock Exchange.pdf
Stock Prices- Random vs. Systematic Changes.pdf
Stock Return Predictability- Is it There.pdf
Stock timing using genetic algorithms.pdf
Stop Loss Orders and Price Cascades in :
:
: