Ok I looked this up: > Originally, martingale > <https://en.wikipedia.org/wiki/Martingale_(betting_system)> referred to a > class of betting strategies <https://en.wikipedia.org/wiki/Betting_strategy> > that was popular in 18th-century France > <https://en.wikipedia.org/wiki/France>.[1] > <https://en.wikipedia.org/wiki/Martingale_(probability_theory)#cite_note-1>[2] > <https://en.wikipedia.org/wiki/Martingale_(probability_theory)#cite_note-2> > The simplest of these strategies was designed for a game in which the gambler > <https://en.wikipedia.org/wiki/Gambler> wins their stake if a coin comes up > heads and loses it if the coin comes up tails. The strategy had the gambler > double their bet after every loss so that the first win would recover all > previous losses plus win a profit equal to the original stake. As the > gambler's wealth and available time jointly approach infinity, their > probability of eventually flipping heads approaches 1, which makes the > martingale betting strategy seem like a sure thing > <https://en.wikipedia.org/wiki/Almost_surely>. However, the exponential > growth <https://en.wikipedia.org/wiki/Exponential_growth> of the bets > eventually bankrupts its users due to finite bankrolls.
a discrete-time martingale is a discrete-time stochastic process (i.e., a sequence of random variables)… ...the conditional expected value of the next observation, given all the past observations, is equal to the most recent observation I should have used conditional expected value instead of saying the random walk model predicts. A random walk model is a Martingale. > Equivalent Martingale Measures is a probability distribution that shows > possible expected payouts from an investment adjusted for an investor's > degree of risk aversion. In an efficient market, this present value > calculation should be equal to the price at which the security is currently > trading. Equivalent martingale measures are most commonly used in the pricing > of derivative securities, because this is the most common case of a security > type which has several discrete, contingent payouts. I don’t have any experience with other than what happened with Enron and Entergy-Koch. Koch Industries Inc.had the power to game and manipulate markets from both the speculative and physical ends—something that even the most powerful investment houses can’t do on their own. Best part is: only insiders know how much or how little manipulation exists because the derivatives are exempted from regulation. David Koch died today. > After David's death, his nephew Chase, the son of Charles, is in line to take > his uncle's place as a key figure in the Koch network. Donna Y dy...@sympatico.ca > On Aug 22, 2019, at 10:10 PM, Donna Y <dy...@sympatico.ca> wrote: > >> Depending on what someone's concept of "predicts" might be, the phrase >> above could induce a misconception. One form to present it is as follows: >> a random walk model stating that the sequence of (discounted) security >> prices is a martingale would support the weak-form of the EMH. ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
