I should have been more precise, "randomness" is a term too broad and I wasn't clear enough. So here it is: Markets sum up to swarm behaviour....
You are terribly wrong. Your (very bad) example might apply under very strict conditions to extremely illiquid markets. In the bigger picture,...
There are several positive expectancy strategies for RW's. But as I said, you're not quite ready to grasp it yet. I can now see more clearly...
You stated: And I said that as a prerequisite for this discussion you should understand how edges exist in "pure randomness". Ninna
This discussion is over your head if you think that "edge" and "randomness" are mutually exclusive. Ninna
Well well, Maybe you ought to do the tests by yourself as I suggested.. See attached, auto-correlation as a function of the lag. Note in...
Test it. Most markets have a tendency to trend more than coin flips. Test it and you will see. Ninna
Based on normal distribution. http://en.wikipedia.org/wiki/Trend_estimation Ninna
Most markets have a tendency to trend more than normal. So yes, there is a (small) edge in trend-following. However there's a bigger edge in...
What is your trading system based on? All reasonable trading strategies, when you strip them down, have an underlying distribution that you bet...
There you go: http://en.wikipedia.org/wiki/Stationary_process Ninna
The absolute mean deviation ratio: d=sqrt(2*N/pi). Where N is the number of throws. Ninna
How do you know? Did you test it? I did and I disagree with your statement. :) How can you justify noise on some timeframes but not on...
My points were 1. Securities actually behave very much like coins most of the time. Test it and see for yourself. The fact that millions of...
This is curve-fitting disguised. It works for some problems but not for the stock-market due to the non-stationarity and non-normality of the...
Nevertheless, even for a coin flip RW with p=0.5 you can compute the envelope that bounds the RW. And you will see that, on average, the throws...
What is your point? Throw a coin and you also see trends... Ninna
If the underlying distribution that you use for placing bets isn't stationary your system is doomed to fail. Therefore unless you can guarantee...
No. Ninna
The difference between the market skew and normal is basically your profit. You need to find a way to measure that difference. Ninna
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