I hope everyone can forgive my arch commentary while I struggled to figure out why EMH is wrong—perhaps I was > > "not even wrong <https://en.wikipedia.org/wiki/Not_even_wrong>”?
> In financial markets, analysts observe something called volatility clustering > in which periods of low volatility are followed by periods of high volatility > and vice versa. For example, volatility for the S&P 500 was unusually low for > an extended period during the bull market from 2003 to 2007, before spiking > to record levels during the market correction of 2008. ARCH models are able > to correct for the statistical problems that arise from this type of pattern > in the data. As a result, they have become mainstays in modeling financial > markets that exhibit volatility. The ARCH concept was developed by economist > Robert F. Engle, for which he won the 2003 Nobel Memorial Prize in Economic > Sciences. Donna Y dy...@sympatico.ca > On Sep 8, 2019, at 8:28 PM, Donna Y <dy...@sympatico.ca> wrote: > > BIG DATA > > Raul said: >>> >> >>> That said, for practical reasons (even ignoring regulations) it's not >> >>> possible to extract all meaning from historical data. > > The meaning of life? > >>>> “Well, it's nothing very special. Try and be nice to people, avoid eating >>>> fat, read <https://www.moviequotes.com/topic/reading/> a good book every >>>> now and then, get some walking in, and try and live together in peace and >>>> harmony with people of all creeds and nations >>>> <https://www.moviequotes.com/topic/nation/>.” >> >>> This is >> >>> especially true in high monetary velocity contexts. There isn't enough >> >>> time to perform more than superficial calculations. > > HFT is falling off because once they overtook most of the market there wasn’t > money to be made through high speed trades. > > Fama says prices reflect all information (variously: available, relevant, WF > historic prices or prices and volume, SSF history + news, SF history, news > and private information. > > Saying that in an efficient market prices “fully reflect” available > information is so vague that can’t be empirically tested. > > There is a comparative advantage conferred by differences in information held > by competing investors. Information that is universally available cannot > provide the basis for profitable trading rules. > >> Fidelity Investments has quietly built up a team of nearly 140 data geeks. > >> "Between the dawn of civilization and 2003, we only created five exabytes; >> now we're creating that amount every two days. By 2020, that figure is >> predicted to sit at 53 zettabytes (53 trillion gigabytes) -- an increase of >> 50 times. Google’s CEO, Eric Schmidt > > Of course 78% of all statistics are made up—and you know 78% is made up > because it should follow the 80/20 rule > > >> It would be ideal if we could have an uncontrolled flow of information. - >> Poindexter, former Director of DARPA Information Awareness Office > > The key is what information is actually relevant to assists decision > makers—how much value can be derived from the information, how much cost is > there to finding the information where it lives and how much does it cost to > use it—do we even need it? >> ...in 1946 at a conference held at… CalTech... A complex object, he >> conjectured, is such that the simplest model that can be given is itself. >> The information it contains is incompressible. >> >> It is interesting that von Neumann resorted to an example borrowed from >> economic theory to illustrate his point. The text von Neumann chose is >> Vilfredo Pareto’s Manual of Political Economy (1906). In it, Pareto explains >> that the model of general economic equilibrium, developed with Leon Walras, >> is a model that formalises the mechanism of the formation of price in a >> competitive market: Not in the least to arrive at a numerical computation of >> prices…. ...if all these equations could really be known, the only humanly >> possible way to solve them would be to observe the practical solution >> brought about by the market. >> > > ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
