Re: [Fwd: Technical Analysis in the United Kingdom]


Subject: Re: [Fwd: Technical Analysis in the United Kingdom]
From: Scott Ferson (scott@ramas.com)
Date: Fri Nov 03 2000 - 20:24:17 MET


Well, my understanding is that it is ALMOST a random
walk, but it CAN be distinguished statistically (post hoc)
from a true random walk. Of course, even tiny deviations,
if we could predict them, would be plenty to get rich on.

Ginzburg discovered the strong temporal asymmetry in
volatility. Knowing this, you can tell whether you're
looking at a forward or backward listing of prices.
You could not tell such a thing if the process were a
true random walk.

As traders become more sophisticated, they are able to
extract more and more of the non-randomness out of the
signal. For instance, in the past, simple trending made
technical traders rich. Today, temporal autocorrelation
is much weaker (although still statistically distinguishable
from zero).

What there is to "refute" in technical trading is that they
often grossly underestimate their true uncertainty, and
therefore underplay risks. This is where fuzzy methods
should be useful.

Scott Ferson
Applied Biomathematics

> Subject: Re: Technical Analysis in the United Kingdom
> Date: Thu, 2 Nov 2000 10:29:09 +0100 (MET)
> From: "Randy J. Solo" <rsolo@uswest.net>
> To: nafips-l@sphinx.Gsu.edu
>
> Technical analysis is bunk. There is NO correlation (or almost none)
> between previous and future prices of individual stocks. Chaos theory is
> wrong...it is a true random walk.
>
> See post "Short term prediction".
>
> >We're equally interested in those who have done any work that refutes
> >Technical Analysis.

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