finally and academic paper you guys will like :-)

Discussion in 'Trading' started by vladiator, Jan 19, 2003.

  1. First of all, I did not boast. It was just the opposite, I said I was humbled by how LITTLE I knew (unlike other overconfident members here who think they know it all).
    I would be more than happy to read your "paper" and rip it apart figuratively speaking. Let me know if I can get an electronic version.
    I don't know man, you are a moderator here, I'd assume you were smart, but how freaking dumb can you be not to understand something so SIMPLE! Let's say you dig and dig and dig and find that if you short a small cap firm that is the top gainer for the day and close the position the next day, you'll earn excess returns. Did you find an inefficiency? Yes. Does it show EMH is baloney? NO!!! It's a normative MODEL, it shows how things behave and why they behave this way. Just b/c there are potholes in the road and you have found another one does not mean the road is not there and is not useable. Unless you show another road that's better. Yes, there are anomalies that are hard to reconcile with EMH, January effect being one of them. I was not using any circular logic. I said it's not EASY to exploit it. If it were, you could take as much debt as you could buy in December, sell in January take the rest of the year off. If it were that easy, there would not be people bitching here on ET about how their trading sucks. Also, as I said, the effect has been shown to become very elusive lately, b/c it has become more known and exploited - exactly as EMH would predict.
    The anomalies that people dig up are scattered all over the place. There is NO systematic model to show they are not random and to explain them. So, I repeat again, hoping you'd eventually get it, unless you offer something better than EMH, showing how EMH doesn't appear to work in some case and how it should be scrapped it like saying: "The goverment system we have in the US sucks b/c of this and that, so let's f#cking dump it and not have any gov't instead!"
     
    #21     Jan 24, 2003
  2. ALICE

    ALICE

    vlad with all due respect, what are you doing here? this is a site for *traders* to discuss and share trading strategies. what have you shared here except to tell us repeatedly that we can't possibly be doing what we claim to be, namely exploiting these "non-existent" market inefficiencies. something we've been doing for YEARS by the way. YOU are pretty damn arrogant buddy, especicially for someone that has been TRADING LESS THAN A YEAR AND DIDN"T KNOW HIS BID FROM HIS ASK WHEN YOU FIRST ARRIVED LAST MARCH. wouldn't you be happier posting some quantitative finance site?
     
    #22     Jan 24, 2003
  3. I didn't tell you you could not be doing what you are doing. I said the fact that you are doing it and making money does not imply EMH is worthless. There is a difference there.
    Yes, I did start trading less than a year ago, so what's your point? I only needed to have a few practical questions answered and I got them answered here, the rest I already had worked out. No, I'm not arrogant. I just hate it when others are :D.
     
    #23     Jan 24, 2003
  4. ALICE

    ALICE

    i also fing it interesting that when i asked you what your p&l was last year, you have no clue. very strange for someone so seemingly fixated on hard quantitative data.:confused:
     
    #24     Jan 24, 2003
  5. Can you read? I didn't say I had no clue. I have a perfect clue. I said I trade other people's money and can't reveal the numbers. I'll PM you.
     
    #25     Jan 24, 2003
  6. dgmodel

    dgmodel Guest

    ...
     
    #26     Jan 24, 2003
  7. sabena

    sabena

    And what if a trader BEFORE the facts happen, says

    he will be consistent trading at an x % significant level.

    The trader will be daytrading so a significance level can be

    calculated for each trading day.

    And there will be about 250 trading days..........
     
    #27     Jan 24, 2003
  8. Babak

    Babak

    vladiator,

    we will have to agree to disagree. I wish you good luck on your thesis defense :)

    Just remember that in some circles PhD is an acronym for piled high and deep (just kidding! :D)
     
    #28     Jan 25, 2003
  9. Deal and thanks.

    Funny. I'll have to remember that one. :)
     
    #29     Jan 25, 2003
  10. nitro

    nitro

    vladiator,

    Thanks for the nice read.

    nitro
     
    #30     Jan 25, 2003