The market is a controlled dynamic system. - page 31

New comment
 
TheXpert:
If he is effective, what are you doing here?
Svinozavr's approach also works in an efficient market, as long as the volatility parameters are maintained.
 
Nafany:
Svinozavr's approach also works in an efficient market, as long as the volatility parameters are maintained.
Why only? What do you mean by "efficient market"?
 
By the way, what does "market efficient" and "market inefficient" mean? - preferably with formulas ;)
 
paukas:
Of course. At least three.
We'll have to try. I changed the sample size from 70 to 2000 - the regression estimates did not change significantly.
 
paukas:
Why only? What do you mean by "efficient market"?
What 'why only'? You can look up efficient markets in the Wiki, for example.
 
Nafany:
What 'why only'? You can look up efficient markets in Wiki, for example.
So you don't know why?
 
vicca vicca -- how do you see it?
 
Nafany:
Svinozavr's approach also works in an efficient market environment
No! Peter's approach is using one of the inefficiencies.
 
TheXpert:
No! Peter's approach is using one of inefficiency.
Which one?
 
avtomat:
vicca vicca -- how do you see it?

Here is a quote from the dictionary:


An efficient market is a market in which prices are fair, which means that their change is random, they are instantaneous and fully reflect both positive and negative influencing information.

Comment.
In other words - price changes are their haphazard wandering in which there is no pattern and which cannot be predicted on the basis of past data. The practical conclusion is that stock and currency market participants cannot "guess" and therefore - make big profits.

This assumption was called the efficient market hypothesis. Why hypothesis? Because in practice large incomes, a kind of "winnings" do happen. Three forms of an efficient market were identified to explain this phenomenon. This is based on three levels of informational efficiency.

The first is the weak form of an efficient market. It assumes that current prices reflect all the information carried by past prices. In practice, this means that knowledge of past price dynamics will not provide a favourable investment opportunity for excess returns.

The second is the average form of an efficient market (semi-strong half-strong). It assumes that the amount of information reflected in current prices goes well beyond the information carried by past prices. Current prices reflect all publicly available information. In practice, this means that even familiarity with the content of analyst reports will not lift the curtain behind which big profits are possible. Prices have already absorbed this information - incorporated it into their amplitude.

The third is a strong form of an efficient market. It assumes that the amount of information reflected in current prices goes far beyond the information carried by both past prices and all publicly available information. Current prices also reflect all unpublished information, i.e. also proprietary, confidential information. In practice, this means that even the use of insider information will not raise the welcome curtain. Prices have already absorbed this information too.
1...242526272829303132333435363738...551
New comment