Sorry, I've decided I need to block anyone who believes the market is a random walk. This comes after heavy deliberation on my end. I hope you understand I just cannot believe in true GBM. Thank you.
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Have you read "The Misbehavior of Markets: A Fractal View of Financial Turbulence" by Benoit Mandelbrot and Richard L Hudson? The chapter dismantling EMH is worth the price of the book. Oh, and there's this:https://twitter.com/jposhaughnessy/status/469182484337283072 …
confusing “the market is a random walk” and “the market has independent normal increments” smh jim
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Lévy flight is a random walk! Random walks can have fat tails, jumps, infinite variance, you name it! Nothing about “random walk” implies “Gaussian” and yet somehow it’s considered a massive own to point out that market returns are heteroskedastic
Thanks. Twitter will use this to make your timeline better. UndoUndo
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