Central Limit Theorem & Trading

Taleb's your friend =P

 

For study of CLT, I have Billingsley in my bookshelves.

Which book do you have?

 

I never heard Taleb.

But during the last 400 years (after appearance of stock market in Netherland), I would say "There was NO person who attain annual 20 % compounded, for the last 400 years"

 

No book at all..
I've read stuff on the web.
The only book on probability I have is :
http://www.mhhe.com/engcs/electrical/papoulis/

 

Instead of CLT, possbly stock market is more related to Brownian motion.

 

Yes. GBM.
Mandelbrot is a good read about that.

 

Possibly close to complex system too.

 

Furthermore, a good (profitable and safe in the long-run) trading logic is most likely "stationary".

 

Statistics are descriptive, trading is predictive.

 

Statistics has its use with trading since prices have dependences / tendencies. If it were random I'd agree. But it's not. How do you wanna predict with blind evidences ? I am not gullible. I need evidences, likelihoods. Or you're telling me you predict random stuffs ? Happy for you. Guess you don't know what it takes to predict XD You need uncertainty reduction. How do you reduce uncertainty ? ... By many ways, among them -->> DESCRIPTIONS

And trading isn't all about Prediction.
OMG ... Take care.