You can't generate positive alpha without a PhD.

hans37 · Feb 17, 2007

Quote from ByLoSellHi:

You profess greater confidence in indexing until you obtain your Ph.D..

But you imply you will abandon indexing upon obtaining your hd.

Tell us, what magic formula will you be equipped with upon graduation that will allow you to beat indexing from that day forth?
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Exactly!

He simultaneously implies rigid belief in the validity of "efficient market theory" for everyone else but expects to be exempt upon becoming a PhD.

Is that crazy or what?

Maybe his real intent is to become a manager with his business education

soulboogie · Feb 17, 2007

I just want to be one of the dogs - with a cute owner:

feed me, love me, pet me, just don't try to change me

TudorJones · Feb 17, 2007

Quote from marketsurfer:

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thank you for taking the film off the market. my question is why?

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Surf, my $$$ cannot keep up with your burn rate. But, trying hard though.

But, you at least have to appreciate the fact that it is ALWAYS in demand and is always being BID up.

Lucre · Feb 17, 2007

"You can't generate positive alpha without a PhD. "

... or with one?

walterjennings · Feb 17, 2007

Quote from marketsurfer:

\

thank you for taking the film off the market. my question is why?

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someone mind explaining to this newbie what film you are talking about?

eusdaiki · Feb 17, 2007

No system is complex enough so that it cannot be described by a simple model, and yet no system is simple enough so that it might not create chaotic behaviors.

****

To the OP, please make several million on your profession over the next few years. Then try to prove us all wrong by beating the market through the use of your flawless financial models.

...Fresh meat.

TudorJones · Feb 17, 2007

Quote from walterjennings:

someone mind explaining to this newbie what film you are talking about?
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The Trader where in my youth, and as a small time money manager, I was suckered into doing a Documentary on the Futures markets.

I was told that it was an easy way to make high profile contacts, and to raise a lot more money to manage than the $100 million that I was already managing then.

Well, to say the least.. I ended up giving up the house on it. A well meaning neophyte can pretty much raise himself up to a billionaire trader status if he can read between the lines on the contents of that documentary, as well as some of my other materials (very few) that are out there.

walterjennings · Feb 17, 2007

Quote from TudorJones:

The Trader where in my youth, and as a small time money manager, I was suckered into doing a Documentary on the Futures markets.

I was told that it was an easy way to make high profile contacts, and to raise a lot more money to manage than the $100 million that I was already managing then.

Well, to say the least.. I ended up giving up the house on it. A well meaning neophyte can pretty much raise himself up to a billionaire trader status if he can read between the lines on the contents of that documentary, as well as some of my other materials (very few) that are out there.
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do you have a torrent link so that i may pirate it?

achilles28 · Feb 17, 2007

Quote from whitster:

golf clap

a big part of chaos theory is how (relatively) small perturbations in a system can have HYOOGE (and somewhat unpredictable) effect.

the classic "butterfly flapping its wings in bolivia causing a hurricane in guatemala"... thang

again, market behavior is HUMAN behavior.

the market is a giant feedback system. market makers and institutions are generally selling strength and buying weakness, retail traders are chasing ticks where their (not so robust) indicator is saying "breakout" or some such. different people with different NEEDS (for example, a hedging commercial producer), entering trades for different reasons, based on different analysis.

it can often seem random. it is never RANDOM. it is COMPLEX

there is a difference

and in the case of many market crashes (like you mention), it was often SMALL perturbations that had effects that, as you put it, are basically statistically almost impossible (much like a scalper being consistently profitable is not possible if trades are random)...

also note that the market has never (to my knowledge) gone UP 20% in a day, or had the sort of extreme one-two-three day market moves UP vs. the moves down.

the drift bias is (obviously) up. that's a function of the fact that wealth is created in the system (stock market) , since stocks are a proxy for businesses, that also create wealth.

yet, despite the drift bias being up, these extreme and basically statistically impossible crashes happen with NO counterpart on the up side

that is because fear and panic are strong emotions.
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Excellent post.

You should check out forex. Depending on how you define fat tail events, they happen in any one currency pair at least once a week.

My tri-part model of market mechanics:

1) Fundamentals move price

2) Speculation exacerbates market gyrations (>95% of market positions taken are SPECULATIVE est.)

3). Technicals define periphery (self fulfilling prophecy. See livermore)

Your welcome . And thanks for the refer on black scholes. Will take a look.

marketsurfer · Feb 17, 2007

Quote from TudorJones:

The Trader where in my youth, and as a small time money manager, I was suckered into doing a Documentary on the Futures markets.

I was told that it was an easy way to make high profile contacts, and to raise a lot more money to manage than the $100 million that I was already managing then.

Well, to say the least.. I ended up giving up the house on it. A well meaning neophyte can pretty much raise himself up to a billionaire trader status if he can read between the lines on the contents of that documentary, as well as some of my other materials (very few) that are out there.
More...

i agree 100%.

myself and marketsurfer,llc thank you for your contributions and wish your continued success.

surf