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There is a "trading Lab" at MIT which is a state of the art trading room ..... it
has nothing to do with TA.
Bob Fulks wrote:
> 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
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