Here comes our 74th month newsletter. 1) Monthly activity Welcome to new members, and thanks to message contributors ! Our membership increased by about 5...
Like every month, I submit an article from the BF glossary, for information, to start a debate on the topic and to get your observations. This month, I saw a...
... Fat tails are a stylized fact (especially when measured at shorter time intervals). It is true that we would expect a normal distribution, due to the...
Martin is using circular reasoning: the central limit theorem does not apply to non-random variables: http://mathworld.wolfram.com/CentralLimitTheorem.html Fat...
... An asset price is a random variable with a finite variance, the reason that the central limit theorem fails to hold is that the returns are not independent...
While Martin has reversed his claim, I don't with his additional reasoning supporting his reversed position. First, Mandelbrot and others do not agree with...
Hello, Regarding fat tails in financial markets. As I know, this issue has been researched in details by Edgar E. Peters ("Chaos and order in the capital...
Actually, I had understood Martin as saying that central limit theorem would lead one to expect a bell curve distribution of returns over time. Then he...
[My comments are interspersed in brackets below] ... From: Behavioral-Finance@yahoogroups.com [mailto:Behavioral-Finance@yahoogroups.com] On Behalf Of...
... I've not reversed anything, I've simply stated the facts: 1) Fat tails are a stylized fact; 2) given that stock prices are the sum of random variables, in...
Much of what Martin said in his response is simply not true. And as usual he couldn't resist being pompous as well as ad hominem. Rather he should scold...
... The first half of the above sentence is a mathematical truth, the second part nonsense. ... The distributions are increasingly fat-tailed as data frequency...
Please, Bob, state your points in a convivial way, we should not relive here what just happened in the final match or the World soccer championship ;-) ... ...
... wrote: [snip] ... Bob, I don't see what you think you are accomplishing here. Clearly this thread was started with the intent to stimulate discussion and ...
Thanks to all, even if the discussion was very hot on this topic, which didn't make it too easy to see the light so as to improve the article. Well, it is one...
Thanks to all, even if the discussion was very hot on this topic, which didn't make it too easy to see the light so as to improve the article. Well, it is one...
I have a sheet which contains data on stock spreads which have a zero sum game i.e. if there are 30 stocks in a index some will go up in $ value , others will...
As an equity analyst/portfoli manager, I analyze companies and make recommendations based on my research. However, being a believer in behavioral finance, I am...
As an economist and investment advisor, I think we are dealing with variables that change on an on-going basis. The statistical data only showed what happened...
hi i think you missed the econometric point here. While you speak the truth about taking care in dealing with historical data, if you assume that some...
I have a sheet which contains data on stock spreads which have a zero sum game i.e. if there are 30 stocks in a index some will go up in $ value , others will...
The discussion was interesting, if sometimes seemingly cavalier. I am usually a lurker on this list, with interests on both sides of artificial intelligence...
Martin, Thanks a lot for the links and the bibliography, I really appreciate the information in the links. I´m a beginner in this area and i´m amazing with...
[ source: http://www.sciencemag.org/cgi/content/short/313/5787/684 ] Frames, Biases, and Rational Decision-Making in the Human Brain Benedetto De Martino,...
Thanks, Martin. This is consistent with the allegory saying that people decide with their brain, their heart and their guts. Seems that physically, the brain...
I'm a finance student and very interested in behavioral finance. At the moment I'm studying the influence of behavioral finance on portfolio design and asset...
Like every month, I submit an article from the BF glossary, for information, to start a debate on the topic and to get your observations. This time I chose...
