s********n 发帖数: 1962 | 1 【 以下文字转载自 Stock 讨论区 】
发信人: badcompany (bad), 信区: Stock
标 题: It's very wrong to say market is a random process
发信站: BBS 未名空间站 (Sat Jan 5 10:52:28 2008)
Modern financial economics is built on a foundation of sands by assuming
stock market follows random process.
Key point: if stock market price really follows a random process, you can
never make a prediction at certain point of time, the simplest version: a
random walk so up or down is always 50:50, so stock market is a casino, and
if you gamble | s********n 发帖数: 1962 | 2 转到这里评论。
观点是非常值得提倡的,但是实际操作并不容易。
我是说,即便可以做到 mind control,实际操作仍然很难。
问题在于:It's easy to know there is a bubble, but it's very hard to tell
when the bubble will burst.
特别要命的是,在 bubble burst 之前,市场会进入一种 exponentially increase
的状态,这对做空的人来说就是梦魇。趋势真的掉头的时候,在反方向的运动却往往
是复杂多变的,。熊市到底亦然。所以这些时候,尽管上涨下跌的概率不是对称的,
回报却也不是对称的。不要以为把一个悟出这些道理的人放回 2000 年他就一定能
survive。
当然,投机的关键就在于“伺机而动”,特别是这个“伺”字。不懂得这一条,别的
根本就全都免谈了。在这一点上,我绝对同意 badcompany 的观点。
and
【在 s********n 的大作中提到】![](/moin_static193/solenoid/img/up.png) : 【 以下文字转载自 Stock 讨论区 】 : 发信人: badcompany (bad), 信区: Stock : 标 题: It's very wrong to say market is a random process : 发信站: BBS 未名空间站 (Sat Jan 5 10:52:28 2008) : Modern financial economics is built on a foundation of sands by assuming : stock market follows random process. : Key point: if stock market price really follows a random process, you can : never make a prediction at certain point of time, the simplest version: a : random walk so up or down is always 50:50, so stock market is a casino, and : if you gamble
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