This is a weirdly common misreading of Mandelbrot. His main contribution was noting three properties of markets that are not well captured by Brownian motion models — 1. fat tails 2. heteroskedasticity 3. long-range correlations (eg power law decay in acf of absolute returns)https://twitter.com/desgrippes/status/1368389916812533768 …
-
Show this thread
-
All of those are completely consistent with markets being random! It just means that simple random models (like gbm) do not sufficiently capture observed market behaviour.
2 replies 0 retweets 31 likesShow this thread -
Replying to @macrocephalopod
Thanks for the extensive reply, I will have to reread and try to get a deeper understanding of it. If they are truly random then how to some traders and funds develop edges over the market?
1 reply 0 retweets 0 likes
Replying to @desgrippes
macrocephalopod Retweeted CorsairRig
answered that (partially) in reply to this tweethttps://twitter.com/CorsairRig/status/1368540312927363073?s=20 …
macrocephalopod added,
7:29 AM - 7 Mar 2021
0 replies
0 retweets
1 like
Loading seems to be taking a while.
Twitter may be over capacity or experiencing a momentary hiccup. Try again or visit Twitter Status for more information.