由买买提看人间百态

boards

本页内容为未名空间相应帖子的节选和存档,一周内的贴子最多显示50字,超过一周显示500字 访问原贴
Quant版 - [合集] Efficient Market Hypothesis, beat which market ?
相关主题
Are future and commodities markets efficient ?Fama French 3 Factor interpretation
请教一个Option的问题Fama French 3 Factor interpretation
is it possible to imply forward prices from american option prices?Fama French 3 Factor interpretation
选课请教,Time series or Data mining求fama french 三因素模型中的25个组合的程序
求助:HEDGE FUND RETURN FORECAST求fama french 三因素模型中的25个组合的sas程序
sell side quantitative equity research求一段fama french 模型分组的sas程序
问个模型测试的问题。过段时间fama french分组程序就出来了
请问French-Fama模型是APT吗?有人在AllianceBerstein做equity么?
相关话题的讨论汇总
话题: market话题: emh话题: hypothesis话题: efficient话题: beat
进入Quant版参与讨论
1 (共1页)
b***k
发帖数: 2673
1
☆─────────────────────────────────────☆
days (count+days) 于 (Thu Jun 19 19:32:07 2008) 提到:
Hi, All:
I have always been puzzled with Efficient market Hypothesis(EMH) . My
understanding of EMH is that we can NOT generally beat market in
long term using whatever information (depending on which form of
EMH we are talking). I do not know what they mean "market" in EMH.
For example, I have been actively trading one solar energy stock.
Does EMH imply that:
1. I cannot beat the segment index of sol
m*****n
发帖数: 3575
2
其实这个理论观点很简单——
你以为就你聪明,别人都傻???
l******n
发帖数: 213
3
据说Fama已经承认EMH错误了,是在rochester某次会议上。大家别跳这个坑了。
有效性和可预测性没必然关系。
w***w
发帖数: 6301
4
I had a sell signal on 12/23/2008,which indicates market will have a big
down wave in very near term.
My system produced the same signal on 2/27/2007,5/3/2007,10/29/2007,12/28/2007,8/14/2008,
and 9/19/2008.
Between 1/1/2007 and 12/23/2008,there were only 6 times this signal occurred and 5 of them predicted incoming big down wave.
The same signal produced before 2007 didn't work. So I assume this signal
only works in a bear market.That may somewhat explain why the signal on 5/3/
2007 didn't work
r****t
发帖数: 10904
5
“例如利空来了,市场反而升,利多来了市场反而跌” emh 当然能解释的通了。
1 (共1页)
进入Quant版参与讨论
相关主题
有人在AllianceBerstein做equity么?求助:HEDGE FUND RETURN FORECAST
Regresion Model MSCI-GEMsell side quantitative equity research
company idiosyncratic risk based on Fama French问个模型测试的问题。
Fama finally got the nobel prize!请问French-Fama模型是APT吗?
Are future and commodities markets efficient ?Fama French 3 Factor interpretation
请教一个Option的问题Fama French 3 Factor interpretation
is it possible to imply forward prices from american option prices?Fama French 3 Factor interpretation
选课请教,Time series or Data mining求fama french 三因素模型中的25个组合的程序
相关话题的讨论汇总
话题: market话题: emh话题: hypothesis话题: efficient话题: beat