As far as I know, the EMH does not state that it can anticipate shocks to the markets; but, that the prices reflect the relevant information when it becomes available. Borrowing from Devon's example early in this thread: I do not think even the most fervent defenders of the EMH believe that the Japanese stock market could have anticipated the earthquake, the tsunami, the effect on the Fukushima nuclear plant, etc.
Regarding Black Monday, apparently, the ones who knew better did not have enough conviction to short the S&P500 in any considerable amount before the event occurred. On Wed, Aug 7, 2019 at 2:31 AM Donna Y <[email protected]> wrote: > Black Monday October 1987 > > > the DJIA fell 508 points and roughly 600 million shares were traded, > both records. > > > markets, left to their own devices, can and will break down into panic > and chaos. > > > > Donna Y > [email protected] > > > > On Aug 6, 2019, at 6:11 PM, Jose Mario Quintana < > [email protected]> wrote: > > > > "That's not what it says." > > > > Really? Be that as it may, meanwhile you have not shown a single > instance > > of a technical strategy, of the kind entertained in that paper, able to > > beat the market with a statistically significant level according to a > > backtest, let alone one which can do so in real-time betting real money. > > Have you? > > > > "It does suggest that EMH would have implications about the nature of > > trading. But its central argument is that is the market were efficient > that > > we could expect the market to have problem solving properties which it > > doesn't have." > > > > You are not trying to imply, based on the claims of that paper, that the > > market is inefficient. Are you? What the paper says is, > > > > "To be clear, we are also not trying to determine if P = NP or, for that > > matter, whether markets are efficient." > > > > > > > > > > > > > > > > > > > > > > > > > > > > On Mon, Aug 5, 2019 at 9:23 AM Raul Miller <[email protected]> > wrote: > > > >> On Sun, Aug 4, 2019 at 7:03 PM Jose Mario Quintana < > >> [email protected]> wrote: > >> > >>> "So I'm not seeing the problem." > >>> > >>> The paper, of which you are fond, implies that there might (or there > >> might > >>> not) be at least one mighty ghost technical trading strategy which, in > a > >>> simulation, would have convincingly beaten a given market for a period > of > >>> time in the past, and one would probably never know depending on > whether > >>> P≠NP or not. > >> > >> > >> > >> > >>> However, even if a mighty ghost makes a sudden apparition, there is no > >>> assurance it would be able to beat the particular market (in which it > was > >>> backtested) in real-time betting real money because, for example, a > >> phantom > >>> concealed unregulated trading strategy might (or might not) start > >> operating > >>> ruining the actual mighty ghost trades. (Once again, "Past performance > >> is > >>> not [necessarily] indicative of future results.") Instead of invoking > >>> ghosts and phantoms I prefer to cite an actual trading record, such as > >> the > >>> one from the very smart lady I mentioned, as likely concrete evidence > >>> against the EMH (in a specific context). > >> > >> > >> That's not what it says. > >> > >> It does suggest that EMH would have implications about the nature of > >> trading. But its central argument is that is the market were efficient > that > >> we could expect the market to have problem solving properties which it > >> doesn't have. > >> > >> -- > >> Raul > >> ---------------------------------------------------------------------- > >> For information about J forums see http://www.jsoftware.com/forums.htm > >> > > ---------------------------------------------------------------------- > > For information about J forums see http://www.jsoftware.com/forums.htm > > ---------------------------------------------------------------------- > For information about J forums see http://www.jsoftware.com/forums.htm > ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
