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A very accurate addition to efficiency was made by Avals.
He pointed out that the market has grown because of investment. If not to trivialise it really is - the market has grown because of the growth of the economy. There is both completeness and awareness and equity in this area. And if there is no investment, is the efficient market white noise? Or a random wandering with drift? After all, it is argued that one cannot make money from it.
What regularities are used in trading, especially if we are talking about trend-following TS?
I searched for information on first- and second-order errors and came across a doctors' forum. It is extremely interesting that the topic of discussion, strangely enough, is very similar to ours, but the level is much higher. Just look at the title of one of the topics:
Robustness and heteroscedasticity, How to get rid of emissions?
And they write about blood loss! If you read about it, you'll realize that without MathLab, R or Statistica you won't be able to be a good doctor!
So far the topicstarter in his calculations did not rise above the weak form of efficiency, i.e. did not use anything other than price data.
The funny thing is that no one has proved even the weakest form of efficiency even for the most technical instrument :)
I understand technicality as the ability to instantly assimilate all the information in the price(imho).
Well, the top starter put forward the thesis that if the market is manipulated, then there are trends there and you can make money from it. Oil, and financials are just the opposite. By the way, shares included in SP500 - the same thing, manipulated by hedgers, experienced traders (as far as I know) generally forbid newbies to get into it. Because they will tear the deposit to shreds.
In fact, the behaviour of hedgers is not obvious. As for the same oil, it is hard to find a correlation between their actions and the same oil price:
* The red line shows the dynamics of short hedgerow positions and the beige line shows the dynamics of long hedgerow positions.
Yes, of course. Even the weak form is refuted. But that hardly anyone is interested...
interested. Only again the reason for non-zero mutual information is the dependence between the increments or just their modulus (volatility)? With conditional heteroskedasticity the mutual information is zero?
So far the topicstarter in his calculations has not risen above the weak form of efficiency, i.e. did not use anything other than price data.
The funny thing is that no one has proved even the weakest form of efficiency even for the most technical instrument :)
You can't prove that there is no efficiency (ability to earn), and you can't prove the opposite because efficiency changes.
I understand technicality as the ability to instantly assimilate all the information in the price(imho).
In reality, the behaviour of hedgers is not obvious. As for the same oil, it is difficult to find a correlation between their actions and the same oil price:
* The red line shows the dynamics of short hedgerow positions and the beige line shows the dynamics of long hedgerow positions.
interesting. Only again the reason for non-zero mutual information is the dependence between the increments or just their modulus (volatility)? With conditional heteroskedasticity the mutual information is zero?