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Hi Alex,
thank for the interesting link.
Not random walk just means that models based on the random walk
hypothesis (gaussian distribution of the stochastic component) are not
accurate. It does not mean technical analysis is successfully
predicting market evolution, but that other models (not random walk,
not necessarily and I would add quite likely not technical analysis)
can be more successful.
By the way the two authors are not Princeton Professors (MIT,Pennstate
I think), and are not physicist but economists , and looking at the
Nature article you link to, they do not seem to like econophysics that
much ...
Econophysics papers are freely available on http://xxx.lanl.gov, but i
guess economist do not even read them, I personally like them
Thanks
Ly
--- In amibroker@xxxxxxxxxxxxxxx, "dalengo" <dalengo@xxx> wrote:
>
> This Princeton study shows on simple examples that price changes are
> not random:
> A Non-Random Walk Down Wall Street
> Andrew W. Lo and A. Craig MacKinlay
> free text at http://press.princeton.edu/books/lo/
> One should not be a Princeton professor to know that, members of
> this board do know that, but still...
> There is an interesting synopsis on physicists turned to market
> 'dynamics' in Nature (London) magazine:
> http://www.nature.com/nature/journal/v415/n6867/full/415010a.html
> They rediscover the same non-random nature of the market.
> See also the Mathematics of Gambling by Ed Thorp
> (free at) http://www.bjmath.com/bjmath/thorp/tog.htm
> to see how one can use stat. anomalies in pricing to get some 10^$.
>
> cheers-- alex
>
> --- In amibroker@xxxxxxxxxxxxxxx, "cstrader" <cstrader232@> wrote:
> >
> > Although I very much hate to say it, I am indeed skeptical that
> there are
> > any technical systems that work consistently. I am also convinced
> (see Ly's
> > argument) that if technical analysis ever did work, it works less
> well now
> > than it did in the past.
> >
> > I would like to hear from any technical trader who can provide a
> complete
> > and independently verified list (for instance on
> www.timertrac.com) of his
> > or her trades that show a profit that beats some benchmark (say
> sp500) over
> > a consecutive period of 3 recent years.
> >
> > Ly, can you explain why volatility analysis is different than
> technical
> > analysis? Can you give examples of volatility systems that might
> be
> > useful? Also, can you explain your statement regarding
> the "correlation
> > between volumes and prices?"
> >
> > One example of a volatility-based system that may be successful is
> the
> > "fasttrack" approach (see for instance
> > http://www.greenmountainaccess.net/~wwgansz/.
> >
> > really enjoying the thread!
> >
> > chuck
> >
> >
> > ----- Original Message -----
> > From: "Tom Tom" <michel_b_g@>
> > To: <amibroker@xxxxxxxxxxxxxxx>
> > Sent: Saturday, December 02, 2006 12:50 PM
> > Subject: Re: [amibroker] Re: Random Walk - step 2 - :
> Predicitable ?
> >
> >
> > > Hi Bman,
> > >
> > > Sure there is psychological and human behaviour in this game,
> and it has
> > > to
> > > be considered.
> > >
> > > But the financial instition should say us "yes it is
> predictable"... so we
> > > put all our money on the market for them. If they say, "it is
> random walk"
> > > people will leave the market and give less money to it.
> > > It need to be balanced i think...maybe yes maybe not, so mystery
> is keep
> > > and
> > > financial institution have maximum cards to play in their hand.
> > >
> > > I aggree 100% with Chuck about this line "technical analysis has
> not been
> > > validated in controlled studies"...
> > > It is true, i have never read (if someone know where to find, i
> am very
> > > interrested, thx) a clean scientific demonstration about winning
> trading
> > > system... nor an old mechanical trader publish any trading
> reconstruction
> > > based on real trade winned by his trading system and showing
> precise
> > > reports
> > > and indicator used... and it frighten me sometimes, because
> maybe after
> > > all
> > > the winner we show us are only a small part of the people which
> take a big
> > > risk and win (big risk = big return if lucky = good trader ?).
> Those who
> > > take a big risk and did'nt win are no more here.
> > > Statically, on all the trader over the world, their is some who
> can be
> > > lucky
> > > and win 10 years , 20 or more consecutive years... few people...
> but
> > > possible. Are their technics consistent ? Do they adapt their
> technics
> > > over
> > > the time ? (so profit cannot be consistent because we cannot for
> sure have
> > > a
> > > good trading system everytime).
> > > Why not a book on a big trading looser ? : )) so trader (bad or
> good)
> > > would
> > > make money not by trading but by publishing book héhé.
> > > YES we can make money on the market it is a fact, but we have to
> be
> > > very...
> > > very... very carrefull i think if we want it to be consitent
> over the
> > > time.
> > > The hard compromises we face is : Commission / Returns and
> Risk / Profit
> > > expected.
> > >
> > >
> > > Their is are two book on the subject, i find the title funny :
> > >
> > > 1- A random walk down wall street, by Burton G. Malkiel
> > > http://people.brandeis.edu/~yanzp/Study%20Notes/A%20Random%
> 20Walk%20down%20Wall%20Street.pdf
> > >
> > > 2- A non-random walk down wall street, bu Andrew W.Lo and A.
> Craig
> > > MacKinlay
> > > http://www.amazon.com/Non-Random-Walk-Down-Wall-
> Street/dp/0691092567
> > >
> > > It show well the problem.
> > > I did'nt read the first one (just the abstract)
> > > I just read fastly thez second one. Very good, go deep in the
> problem with
> > > mathematic backgound to show assumption which are made inside.
> > >
> > > First one say from its abstarct : "this is random walk, and all
> that we
> > > can
> > > do is good managing of risk"
> > > Second one say : "this is not random walk because volatility
> don't follow
> > > random walk model"
> > > All seems about volatility :
> > > First one : risk managment = manage portfolio gievn the
> volatility
> > > (=risk).
> > > Second one : volatility is not random
> > >
> > > So to go deep on the subject :
> > > Does someones here make pure volatility based trading system on
> Amibroker
> > > ?
> > > Can we have his feeling about that ?
> > >
> > > Cheers,
> > > Mich.
> > >
> > >
> > > ----- Original Message -----
> > > From: brpnw1
> > > To: amibroker@xxxxxxxxxxxxxxx
> > > Sent: Saturday, December 02, 2006 5:36 PM
> > > Subject: [amibroker] Re: Random Walk - step 2 - : Predicitable ?
> > >
> > >
> > > The fact that people make consistent money off the stock market
> is
> > > evidence that the markets are not random. It appears that self-
> > > purported "experts" who likely work for large financial firms
> will
> > > go to great lengths to use data to help people forget that the
> > > markets are not random -- of course it's not random, because
> people
> > > are making consistent wins off the market, using technical
> analysis.
> > > People such as John Ehlers, for example, who have created black
> box
> > > mehods that will always profit from the market, without any human
> > > intervention.
> > >
> > > These financial firms have everything to gain by demonstrating
> that
> > > technical analysis is an illusion. They want to handle your
> money so
> > > they can make their profits. Don't ever believe them. They want
> you
> > > to ride out the long-term dips in the market without ever moving
> > > your money. They make more money if you don't move your money.
> The
> > > compliance portion of the financial industry goes to greath
> lengths
> > > to make sure that once they have your money, very few people in
> the
> > > financial world can actually use technical analysis to make you
> > > regular profits. Try getting a job as a financial planner, based
> on
> > > your ability to make people money using technical analysis --
> you'll
> > > never get near a desk at any firm. They don't want you to
> contradict
> > > the BS that they feed the masses.
> > >
> > > In order for financial firms to make money off you, they have to
> > > make you lose money. Somebody always loses in the stock market.
> They
> > > just want to make sure it's you.
> > >
> > > So continue to seek out technical analysis to make consistent
> gains
> > > in the market. Regularly read articles written by people who are
> > > already doing this successfully, so you don't lose track of
> reality,
> > > since the financial firms are rich enough to produce a very
> > > convincing BS argument.
> > >
> > > ~Bman
> > >
> > > --- In amibroker@xxxxxxxxxxxxxxx, "cstrader" ...> wrote:
> > >>
> > >>Hi Tom Tom:
> > >>
> > >>Yes, an interesting article. I was particularly intrigued by this
> > > line:
> > >>
> > >>"technical analysis has not been validated in controlled
> studies "
> > >>
> > >>Is there any evidence that what we are trying to do might ever
> > > work? How
> > >>could we prove that it does?
> > >>
> > >>chuck
> > >>
> > >>----- Original Message ----- From: "Tom Tom" ...>
> > >>To: <amibroker@xxxxxxxxxxxxxxx>
> > >>Sent: Friday, December 01, 2006 5:12 PM
> > >>Subject: [amibroker] Random Walk - step 2 - : Predicitable ?
> > >>
> > >>
> > >> > 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
> > >> >
> > >> > __________________________________________________________
> > >> > Les révélations de la starac 6 commentées par Jérémy!
> > >> > http://starac2006.spaces.live.com/
> > >> >
> > >> >
> > >> >
> > >> > Please note that this group is for discussion between users
> only.
> > >> >
> > >> > To get support from AmiBroker please send an e-mail directly
> to
> > >> > SUPPORT {at} amibroker.com
> > >> >
> > >> > For NEW RELEASE ANNOUNCEMENTS and other news always check
> DEVLOG:
> > >> > http://www.amibroker.com/devlog/
> > >> >
> > >> > For other support material please check also:
> > >> > http://www.amibroker.com/support.html
> > >> >
> > >> > Yahoo! Groups Links
> > >> >
> > >> >
> > >> >
> > >>
> > >
> > >
> > >
> > >
> > >
> > > _________________________________________________________________
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> > >
> > >
> > >
> > > Please note that this group is for discussion between users only.
> > >
> > > To get support from AmiBroker please send an e-mail directly to
> > > SUPPORT {at} amibroker.com
> > >
> > > For NEW RELEASE ANNOUNCEMENTS and other news always check DEVLOG:
> > > http://www.amibroker.com/devlog/
> > >
> > > For other support material please check also:
> > > http://www.amibroker.com/support.html
> > >
> > > Yahoo! Groups Links
> > >
> > >
> > >
> >
>
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