It's very wrong to say market is a random process (转载) - 未名空间MITBBS历史存档

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It's very wrong to say market is a random process (转载)

It's very wrong to say market is a random process (转载)# Investment - 投资

s*n2008-01-05 08:01

1 楼

【以下文字转载自 Stock 讨论区】
发信人: badcompany (bad), 信区: Stock
标题: It's very wrong to say market is a random process
发信站: BBS 未名空间站 (Sat Jan 5 10:52:28 2008)
Modern financial economics is built on a foundation of sands by assuming
stock market follows random process.
Key point: if stock market price really follows a random process, you can
never make a prediction at certain point of time, the simplest version: a
random walk so up or down is always 50:50, so stock market is a casino, and
if you gamble

s*n2008-01-05 08:01

2 楼

转到这里评论。
观点是非常值得提倡的，但是实际操作并不容易。
我是说，即便可以做到 mind control，实际操作仍然很难。
问题在于：It's easy to know there is a bubble, but it's very hard to tell
when the bubble will burst.
特别要命的是，在 bubble burst 之前，市场会进入一种 exponentially increase
的状态，这对做空的人来说就是梦魇。趋势真的掉头的时候，在反方向的运动却往往
是复杂多变的，。熊市到底亦然。所以这些时候，尽管上涨下跌的概率不是对称的，
回报却也不是对称的。不要以为把一个悟出这些道理的人放回 2000 年他就一定能
survive。
当然，投机的关键就在于“伺机而动”，特别是这个“伺”字。不懂得这一条，别的
根本就全都免谈了。在这一点上，我绝对同意 badcompany 的观点。

and

【在 s********n 的大作中提到】

: 【以下文字转载自 Stock 讨论区】
: 发信人: badcompany (bad), 信区: Stock
: 标题: It's very wrong to say market is a random process
: 发信站: BBS 未名空间站 (Sat Jan 5 10:52:28 2008)
: Modern financial economics is built on a foundation of sands by assuming
: stock market follows random process.
: Key point: if stock market price really follows a random process, you can
: never make a prediction at certain point of time, the simplest version: a
: random walk so up or down is always 50:50, so stock market is a casino, and
: if you gamble