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by Richyiee
January 30th, 2011, 10:59 am
Forum: Trading Forum
Topic: Generating positive alpha
Replies: 16
Views: 23857

Generating positive alpha

QuoteOriginally posted by: daveangelreally ? see how much alpha you can find running a long only large cap portfolio versus S&P 500A lot ... in the Chinese equities market ... muahahahaha
by Richyiee
January 30th, 2011, 9:26 am
Forum: General Forum
Topic: The problem with random walk theory
Replies: 40
Views: 39776

The problem with random walk theory

here is the equity line of a mid freq trading system that feeds off simple technical signals of historical data, so my question is: what is the probability of this result given the (true) underlying stock processes are random walks?
by Richyiee
January 30th, 2011, 7:21 am
Forum: Student Forum
Topic: Can anyone explain in simple terms the stock process in the risk-free measure
Replies: 8
Views: 21479

Can anyone explain in simple terms the stock process in the risk-free measure

risk neutral world is dumb because FACT > stock returns are not iid < FACT however for "simplicity" people assume it is but then comes up unecessaraly complex models that hinge on this assumption, whats the point in mathematical rigour when your underlying assumptions are shakey
by Richyiee
January 29th, 2011, 8:59 am
Forum: Trading Forum
Topic: Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years
Replies: 23
Views: 26386

Trading the Chinese stock markets, 29 Sharpe ratio 107% annualised returns over 5 years

<t>hello, here is a system i developed, the basic strategy is: at end of each day, use updated historical data and some algorithms to rank stocks, the next day select the top ranked stocks, of these stocks those which also pass certain criteria hold for 3 days and sell at the close of the third day....
by Richyiee
October 14th, 2009, 3:17 pm
Forum: General Forum
Topic: Economic Justification for Ito Calculus
Replies: 23
Views: 38110

Economic Justification for Ito Calculus

<t>just because stock price processes 'look' like random walks doesnt mean they are random walks , or even that random walks are the best way of describing them Its like people with blurry vision, doesnt mean the world is actually blurry. And if u go about believing the worlds blurry then you'll nev...
by Richyiee
October 10th, 2009, 4:18 pm
Forum: General Forum
Topic: The problem with random walk theory
Replies: 40
Views: 39776

The problem with random walk theory

<t>"original response was to original question. the correct answer was and still is "no"." - Jawabeanno or oh no! ? "Philosophically, on an exchange traded market of plain vanillas, therefore, why does one need any concrete model at all (we ONLY need to think about no arbitrage ideas which are not p...
by Richyiee
October 9th, 2009, 12:35 pm
Forum: General Forum
Topic: The problem with random walk theory
Replies: 40
Views: 39776

The problem with random walk theory

" some people are making money because they understand how to interpret the "preachings of financial mathematics". "Sure, i like this sentence. Although im not sure we share same views on the "how" in the "how to interpret" bit
by Richyiee
October 9th, 2009, 11:12 am
Forum: General Forum
Topic: The problem with random walk theory
Replies: 40
Views: 39776

The problem with random walk theory

<t>"Richyiee, if you think you have found something non-Markovian that the rest of the market hasn't found, good luck; it could be very profitable...or not. " Well im sure theres plenty of people making plenty of money out there one way or another , and I gotta feeling its not because they followed ...
by Richyiee
October 8th, 2009, 9:44 pm
Forum: General Forum
Topic: The problem with random walk theory
Replies: 40
Views: 39776

The problem with random walk theory

<t>"the "chartist" would be trying to predict next coin flip's side. so, if the last three coin flips were head, tail,head, then the chartist would rationalize that "they alternate in short term", so he'll bet on next tail."your viewing markets from a prejudiced perspective, if you assume they're 'r...
by Richyiee
October 8th, 2009, 8:36 pm
Forum: General Forum
Topic: The problem with random walk theory
Replies: 40
Views: 39776

The problem with random walk theory

<t>hi fermion,by specifying a probability distribution, you are determining the range within which returns will move. Then at the end of the day, although the movements are 'random' within this range, they are in a sense very 'deterministic' because this 'range' is completely specified. The whole mo...
by Richyiee
October 7th, 2009, 7:59 pm
Forum: General Forum
Topic: The problem with random walk theory
Replies: 40
Views: 39776

The problem with random walk theory

<t>"look at the simplest BM model of your choice. there'll be one parameter there - constant volatility.where will you get it from? unless God gives it to you in revelation, you'll have to calibrate it to something. calibrating to historical data is one way of doing it. " - jawabeanMao (roughly): "W...
by Richyiee
October 7th, 2009, 7:27 pm
Forum: General Forum
Topic: The problem with random walk theory
Replies: 40
Views: 39776

The problem with random walk theory

<t>since random walk theory is based on the view that future prices are independent of historical prices(am i right in saying this ?),then to calibrate the models using historical prices... seems slightly self-contradictory?, isnt that what the chartists do .. except the chartists(who use computers)...
by Richyiee
October 6th, 2009, 2:01 pm
Forum: General Forum
Topic: The problem with random walk theory
Replies: 40
Views: 39776

The problem with random walk theory

why not ?, by calibrating with historical data your saying history has an effect on the future, but the model asserts history has no effect on the future.
by Richyiee
October 6th, 2009, 12:48 pm
Forum: General Forum
Topic: The problem with random walk theory
Replies: 40
Views: 39776

The problem with random walk theory

<t>All these models which are based on random walk theory justify themselves with the efficient market hypothesis. Yet any model calibration which uses empirical data violates the essence of efficient market hypothesis, the 'markovness' of stock price processes, isn't it contradictory to model stock...
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