hmmm, tilly, whether you accept the random walk hypothesis depends on how orthodox your economics are. Lo & MacKinlay, at MIT, in "A Non Random Walk down Wall Street" (1999) obtained overwhelming rejections of random walk; there is quite compelling evidence against it. i append a quote from Niederhoffer's biography you might find interesting.

This theory and the attitude of its adherents found classic expression in one incident I personally observed that deserves memorialization. A team of four of the most respected graduate students in finance had joined forces with two professors, now considered venerable enough to have won or to have been considered for a Nobel prize, but at that time feisty as Hades and insecure as a kid on his first date. This elite group was studying the possible impact of volume on stock price movements, a subject I had researched. As I was coming down the steps from the library on the third floor of Haskell Hall, the main business building, I could see this Group of Six gathered together on a stairway landing, examining some computer output. Their voices wafted up to me, echoing off the stone walls of the building. One of the students was pointing to some output while querying the professors, "Well, what if we really do find something? We'll be up the creek. It won't be consistent with the random walk model." The younger professor replied, "Don't worry, we'll cross that bridge in the unlikely event we come to it." I could hardly believe my ears--here were six scientists openly hoping to find no departures from ignorance. I couldn't hold my tongue, and blurted out, "I sure am glad you are all keeping an open mind about your research." I could hardly refrain from grinning as I walked past them. I heard muttered imprecations in response.

respectfully,

...wufnik
-- in the world of the mules there are no rules --

In reply to Re: Re: Bayesian not-for-spam by wufnik
in thread Bayesian not-for-spam by Kickstart

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