September 21, 2009 - Big Ideas
A reader suggested: “I know you’ve looked at Didier Sornette’s work in the past, but I think it would be worthwhile to look at his work again. His latest is ‘Bubble Diagnosis and Prediction of the 2005-2007 and 2008-2009 Chinese Stock Market Bubbles’, with abstract as follows:”
September 3, 2009 - Big Ideas
Continuation of uncanniness is a possibility, but instead the past relationship may derive from substantial data snooping bias and thus break down out of sample.
June 8, 2007 - Big Ideas
…the Efficient Markets Hypothesis is arguably evolving to incorporate genetic material from the theories of psychology, games, learning and biological evolution.
March 7, 2006 - Big Ideas
…this synthesis of the theories of physical entropy, information processing and evolution offers an interesting perspective on investor psychology and financial market behavior.
June 6, 2023 - Momentum Investing, Technical Trading
Why is trend following so persistently popular among investors? In their March 2022 paper entitled “A Guide to Trend Following Strategies”, Stuart Broadfoot and Daniel Leveau describe popular trend identification methods and provide an example of how to build/test a multi-asset class trend following strategy in four steps. Using trend following index data during January… Keep Reading