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To go on dicussion about random walk, nice article at the middle of this
page :
http://www.duke.edu/~rnau/411georw.htm
Combine: Random Walk and Prediction.
Technical analysis... usefull ? Financial information ... usefull ? Even
illegal information (hidden to public) .. usefull ? Last one maybe. Others,
humm....
This is what about deals this article.
For me, next theory could be a Chaotic Fractal Near-Random Walk... : ))
Chaotic : because spurious peak in the data wich can initiate further
mouvment
Fractal : year, month, day, hour, minute, sec... same patterns
Near-Random Walk : Random Walk but predictable, because i don't think price
move randomly...
If they move randomly... tehnical or fundamental analysis are useless, so
there is no mean to try to trade at all, (only to give commission to the
broker héhé).
Seriously, from this article, what seems emerging from last years, is that
price is random walk, but volatility maybe not... It is well explained in
the article. Arch and Garch model are mentionned.
Someone try this on AB ? Trade based only about volatility prediction (so
predict risk, and manage portfolio depending those prediction about
volatility)... and so don't bother with the price random-walk ?
Cheers,
Mich
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Les révélations de la starac 6 commentées par Jérémy!
http://starac2006.spaces.live.com/
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