"I am becoming convinced that you have not read the paper at all. "
:D I was even quoting from the paper. "the paper relied on no such idea" and "it's also not proposing 'a trading strategy which beats the market'." That is too bad then because according to the paper, "On the contrary, finding those remaining profitable strategies would be a paramount goal for many practitioners." So, I guess, practitioners look elsewhere! (Are we reading the same paper?) "since the only use of the word 'beat' in the paper was a sentence talking about two horses." You used the phrase "the market can't be beat." earlier in this thread (remember?) and, for instance, Wikipedia uses "beat the market" in the context of the EMH; instead you can think of, consistently producing risk-adjusted excess returns, if that makes it easier for you (because you cannot possibly be suggesting that the paper uses its own peculiar independent definition of the EMH; that would explain a lot though). "from this perspective, even weak form market efficiency seems highly implausible (and, at best, unproven)." and earlier, "Sure, but https://arxiv.org/pdf/1002.2284.pdf shows that even the weak EMH is mathematically implausible." You try to make it sound as if everything is just mathematics; but, it does not seem to be just that, for example, (P = NP) -> Markets are efficient "so long as the combined computational power of financial market participants continues to grow exponentially, either through population growth or technological advances" Markets are efficient -> (P = NP) "But we need to make one other assumption that is currently not standard in modern markets: we need to allow participants to place order-cancels-order (“OCO”) or one-or-the-other orders. These are orders on different securities that automatically cancel the remaining orders whenever one is hit." Can you name any market where you can place these orders or are they still in La La Land? The paper just claims "markets are probably not efficient;" but you go further "even weak form market efficiency seems highly implausible." What do you mean by "highly implausible"? Where exactly in the paper is the evidence that supports your claim? (Can you at least mention the section?) On Wed, Aug 7, 2019 at 11:01 AM Raul Miller <[email protected]> wrote: > On Tue, Aug 6, 2019 at 6:11 PM Jose Mario Quintana > <[email protected]> wrote: > > 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? > > I am becoming convinced that you have not read the paper at all (since > I can't find any part of the paper that matches what you suggest here, > and since the central thrust of the paper relied on no such idea, and > since the only use of the word "beat" in the paper was a sentence > talking about two horses). > > Perhaps you are thinking of a different paper? > > > "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." > > As is usual for papers on the subject of P vs. NP, it's contingent on > other results. > > The title pretty much sums up the argument. > > But, it's also not proposing "a trading strategy which beats the market". > > That said, from this perspective, even weak form market efficiency > seems highly implausible (and, at best, unproven). > > Thanks, > > -- > 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
