Re: fuzzy finance


Subject: Re: fuzzy finance
From: Dale Johnson (djohnson@mi.ab.ca)
Date: Thu Feb 24 2000 - 02:13:45 MET


Didn't Steve Balmer have something to say about efficient markets
when Microsoft was back at $95, before it ran up to $120 and then
back down to $93. The markets haven't been efficient for a long time.
Its like saying our freeways are efficient. There are human beings
on them, driving at all different speeds, there are accidents and
traffic jams all of the time.

This is not to say it can't be modelled, but using an "efficiency"
pricipal at its base would be inaccurate. Perhaps a "perception"
model may excel.

Dale Johnson

"PGreenfinch" <pgreenfinch@wanadoo.fr> wrote in message
news:88p3al$45e$1@wanadoo.fr...
> The ERT / Efficient Market Theory sustains that there is only one possible
> asset price at a given moment, the condition being that the market be deep
> and liquid enough and fully informed.
> The price, with this theory, would result from the stock's "fundamentals"
> - expected profit (future earnings per share),
> - rate of return (by reference with the "riskless rate", measured by the
> government bond's rate, to which is addes a risk premium linked to the
stock
> volatility (standard price deviation)
> - a beta coefficient linked to the correlation between the price of the
> stock of an individual company, and the prices in the whole market,
measured
> by a market index).
> Well, in practice, stock prices behave more wildly and fuzzily.
> Can anyone tell me if my pricing model (that uses behavioral finance and
> gives a much broader potential price range than the ERT) has some
> resemblance with fuzzy models, and if that could lead to further research
> using fuzzy logic tools ?
> _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _ _
> Behavioral stock pricing:
> http://perso.wanadoo.fr/pgreenfinch/
>
>
>

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