[RT] Re: [realtraders] Tech analysis - waste of time? {04}

[Bob Fulks <bfulks@xxxxxxxxxxxx>]

At 11:37 PM -0800 11/29/99, Rajat K. Bose wrote:

>By the Steven, you wrote that Wharton and MIT are about to start 
>teaching TA--when and in which program, could you just let me know?

Attached below is a copy of my post of 5/19/99 with more detail on this topic:

Bob


At 9:54 PM -0400 5/18/99, Jim White wrote:

>The conclusion is that markets exhibit dependencies in the short term which
>do render them to be forecastable over the short term. Ralph Ancampora has
>even indicated that some of the most prestigious business schools wiil soon
>be teaching market timing techniques to their students.


I believe the many "prestigious business schools" are already doing this. I
have seen the plans of a "Trading Lab" at some business school, (I think it
might have been MIT). And respected professors have written books related
to the subject.

I recently read an excellent book, "The Econometrics of Financial Markets",
1997, by three authors:

    John Campbell,
       Otto Eckstein Professor of Applied Economics at Harvard Un.,
    Andrew Lo,
       Harris & Harris Group Professor at the Sloan School of
       Management at MIT, and
    Craig MacKinlay, Professor of Finance at the Wharton School,
       Un. of Pennsylvania.

Chapter 2 spends over 50 pages summarizing dozens of technical papers
published in prestigious economic journals that addressed predicability of
the markets and tests of the Random Walk Hypothesis. In the conclusion of
the chapter, Section 2.9, they state:

   "Recent econometric advances and empirical evidence seem to
    suggest that financial asset returns are predictable to some
    degree. Thirty years ago this would have been tantamount to
    an outright rejection of market efficiency. However, modern
    financial economics teaches us that other, perfectly rational
    factors may account for such predictability. The fine
    structure of securities markets and frictions in the trading
    process can generate predictability. Time-varying expected
    returns due to changing business conditions can generate
    predictability. A certain degree of predictability may be
    necessary to reward investors for bearing certain dynamic
    risks. Motivated by these considerations, we shall develop
    many models and techniques to address these and other related
    issues in the coming chapters."


Looks as if these teachers are finally getting the right idea!

Bob Fulks