Recent content by londontrader

Why don't you write a letter to George Osborne, congratulating him on his govt's ability to pledge transnational aid without Parliamentary approval. (That's what you claim!) Would love to read George's response!

Some people (even economists) actually argue along those lines ie. that the market is inherently inefficient, unstable, prone to failures etc. And the empirical data agrees with you The classic EMH counter to that is "Luck" (which I don't subscribe to) Actually, all that you have...

Read Peter Doyle's actual resignation letter (and not your reuters version with the spicy commentary) http://cnnibusiness.files.wordpress.com/2012/07/doyle.pdf You will see that Peter's criticism of the IMF (I agree with all of it) is nothing new at all ie. refer to Joe Stiglitz etc... As...

Yes, mean reversion is observed empirically BUT it's not a stable observation (life would a lot easier if it was!) It's also something that can be consistent with an EMH type argument My eg. of an Adaptive EMH is to show how people try and modify the model to fit observed anomalies like...

Not to forget inefficiency by COMPLEXITY I'm always shocked by how little many market participants actually know about the stuff they trade/sell, beyond the fluffy catch phrases that they pick up from some MBA cram sheet. There were ABS people who didn't know what a copula is! The problem is...

Sometimes and in some markets, we do see gradual changes and sometimes the markets gaps violently. The takeaway is that models rooted in general equilibrium theory sit very uncomfortably with the empirical data. My feeling (from years of being a participant and interactions with academics on...

How about an adaptive EMH: 1. In the long run, market prices do reflect all available information. 2. However, some of the facts they reflect are not exogenous (externally given facts); they are the opinions of market participants. (Others are exogenous, but hard to observe) 3. These...

We are very supportive of global stability (even GMS who only quibbles about the amount spent) WE JUST LIKE TO BE ASKED FIRST AS OPPOSED TO THE PAP DECIDING FOR US!

Neither side has yet to provide a knock out punch. That's why all those aspiring Phds are busy hammering out papers on the topic May even be a Nobel Prize in it for the guys who do deliver the knock out punch Unfortunately, EMH invokes very strong emotions amongst the financial crowd (their rice...

Yeah! And the Germans are counting on it. Problem is that pesky thing called the US Congress and the need for a President to actually be subject to an election. That's why sometimes, democracy has a crazy way dealing with urgent problems But the alternative is unthinkable

That's why statistics can always refute any claims made by gamblers at casino tables. You can actually run the simulations The problem with financial markets is that the true distributions are unknown (and possibly unknowable) Markets are endogenous remember? That's why risk mgt in...

The EMH has it's roots in General Equilibrium Theory Therefore, If momentum strategies work, as apparently they do, why is there not enough capital applied to them so that the excess return goes away? Excess returns to momentum trades may indeed be "specific", but for the moment momentum trades...

That's cute!

You make a good point and I'll give you a real example ie. momentum strategies (trend following) According to the EMH, they shouldn't work at all But Momentum has been with us for years (not months) Granger & Timmermann try to reconcile this by adjusting the traditional definition of the EMH...

It still could be the real reason because the same PAP team might not be present over the next few cycles Leadership renewal at each cycle, remember? So maybe the current PAP team didn't feel like taking a hit (on their operating budget = bad PR), in order to make a future (younger) PAP team...