On Fri, Aug 9, 2019 at 7:22 PM Jose Mario Quintana <[email protected]> wrote: > :D I was even quoting from the paper.
You get a gold star. But how can I talk about what the paper says with you, when you are not acknowledging that it was said? > "the paper relied on no such idea" and "it's also not proposing 'a trading > strategy which beats the market'." > > That is too bad then because according to the paper, > > "On the contrary, finding those remaining profitable strategies would be a > paramount goal for many practitioners." > > So, I guess, practitioners look elsewhere! (Are we reading the same paper?) We are. You're quoting from the motivations and definitions part of the paper. > "since the only use of the word 'beat' in the paper was a sentence > talking about two horses." > > You used the phrase "the market can't be beat." earlier in this thread > (remember?) and, for instance, Wikipedia uses "beat the market" in the > context of the EMH; instead you can think of, consistently producing > risk-adjusted excess returns, if that makes it easier for you (because you > cannot possibly be suggesting that the paper uses its own peculiar > independent definition of the EMH; that would explain a lot though). Yes, I did. But what was I using the phrase to say? > "But we need to make one other assumption that is currently not standard in > modern markets: we need to allow participants to place order-cancels-order > (“OCO”) or one-or-the-other orders. These are orders on different > securities that automatically cancel the remaining orders whenever one is > hit." > > Can you name any market where you can place these orders or are they still > in La La Land? If that is "La La Land" then you are emphasizing functioning markets being heavily regulated. Which would be accurate, by the way, though different countries regulate them in different ways. > The paper just claims "markets are probably not efficient;" but you go > further "even weak form market efficiency seems highly implausible." What > do you mean by "highly implausible"? Where exactly in the paper is the > evidence that supports your claim? (Can you at least mention the section?) That's a mix of the argument made in that paper with my observations on how things typically work. You're right that that's not something the paper says. But a better way of expressing my point of view is this: If we constrain ourselves to literal interpretations of the various published forms of the efficient market hypothesis, and limit ourselves to statement which are observably correct, then it's very difficult, and perhaps impossible, to find anything useful in what it says, except as a rough heuristic describing some properties of existing market regulations. Thanks, -- Raul ---------------------------------------------------------------------- For information about J forums see http://www.jsoftware.com/forums.htm
