A Non-Random Walk Down Wall Street
| Author | : | |
| Rating | : | 4.64 (608 Votes) |
| Asin | : | 0691092567 |
| Format Type | : | paperback |
| Number of Pages | : | 448 Pages |
| Publish Date | : | 2014-12-30 |
| Language | : | English |
DESCRIPTION:
"What Andrew W. A case in point that doesn't take a supercomputer to detect, is day traders' current enthusiasm for Internet stocks. But it is also one for practitioners."--Diane Coyle, The Independent (London)"Where are today's exploitable anomalies? Lo and MacKinlay argue that fast computers, chewing on newly available, tick-by-tick feeds of market-transaction data, can detect regularities in stock prices that would have been invisible as recently as five years ago. Lo says that day traders tend to overreact to news--whether that news is positive or negative--so it should be possible to profit by taking the opposite side of their trades."--Peter Coy, Business Week. Lo and A. Here they marshal the most sophisticated techniques of financial theory to show that the market is not completely random after all."--Jim Holt, Wall Street Journal"With all its equations, this book is going
Excellent Econometric Analysis for the Right Audience This is a book about financial economics, not day-trading. The techniques used is advanced econometric analysis, not technical charting. The purpose is to clarify some common myth about efficient market theory and the random walk hypothesis, not to show one how to pick stocks. Just like the authors' other book ("Econometrics of Financial Markets"), this one is of the highest high quality, and does a superb job on what it set out to be.Some readers seem to be disappointed at this book by naively assuming what the title impl. "Interesting Book" according to A Customer. This is a very interesting book and would have been useful in the empirical finance Ph.D. class I took at Berkeley several years ago. Note that this is a difficult read and is orientated towards Ph.D's and their doctoral students.. ArtFan said hardly read it. I picked up this book to try to get some background on arguments for and against random walk. Maybe this book has that. I don't know. I have a B.S. in Math and I don't want to go back to school for two years to understand this book.The book is a bunch of math, that's it. If you're looking for a higher level, "semi-technical" discussion this isn't it.If you want to sit down with a nice cup of tea and enjoy some graduate level statistics, then go ahead and get it.
Craig MacKinlay put the Random Walk Hypothesis to the test. In this volume, which elegantly integrates their most important articles, Lo and MacKinlay find that markets are not completely random after all, and that predictable components do exist in recent stock and bond returns. For over half a century, financial experts have regarded the movements of markets as a random walk--unpredictable meanderings akin to a drunkard's unsteady gait--and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. This book invites scholars to reconsider the Random Walk Hypothesis, and, by carefully documenting the presence of predictable components in the stock market, also directs investment professionals toward superior long-term investment returns through disciplined active investment management.. A particular highlight is their now-famous inquiry into the pitfalls of "data-snooping biases" that have arisen from the widespread use of the same historical databases for discovering anomalies and developing seemingly profitable investment strategies. Their b