CALDEIRÃO DE BOLSA

MathBox Escreveu:mas isto não é os que ja fazem os chamados fundos quanticos?

William Eckhardt: When I first began trading solely on the basis of price and was much more concerned than I should have been about the academic orthodoxy that futures market price change was pure white noise--a random walk--I made the following notebook entry: "How can the aggregate of traders and users arbitrage out a potentially unlimited number of nonlinear relationships?" The implication was that they could not. Twenty-five years later, I am less confident about the continuing correctness of this answer. What I failed to take into consideration was the staggering explosion in information processing. This will only continue. Eventually artificial intelligence devices, superior to any human researcher, will effectively uncover all exploitable nonlinear relationships of price to price. Such relationships will be mined until technical analysis is no longer profitable. There is an irony in that dogmatic" random walk" theorists, dead wrong for a century, will turn out to have been prescient--futures markets will have been driven to randomness. The process has already begun.

I feel these developments are nearly assured (assuming no disruption of civilization). What is less clear is whether this will happen as rapidly as I predict--in 10 to 20 years. In the meantime, profitable trading will only get harder as increasingly more astute traders pursue progressively weaker statistical regularities. This is why it is necessary for a CTA continually to improve just to hold his or her own. The only consolation I can offer is that there are profits to be made participating in this process of randomization.

bcancio Escreveu:Ok.
Mas tentado voltar ao assunto, alguem faz ideia se realmente deixa de fazer sentido ter um humano a decidir o rumo dos investimentos?

AutoMech Escreveu: “Economists are pessimists: they've predicted 8 of the last 3 depressions” - Barry Asmus

LTCM Escreveu:

bcancio Escreveu:Até que ponto deixa de fazer sentido ter estrategas ou economistas a decidir o rumo dos investimentos?

Nunca se deve ter economistas a decidir o rumo dos investimentos, a menos que o objectivo NÃO seja ganhar dinheiro, pois eles costumam falhar as previsões 9 em cada 8 vezes.

bcancio Escreveu:Até que ponto deixa de fazer sentido ter estrategas ou economistas a decidir o rumo dos investimentos?

LTCM Escreveu:

bcancio Escreveu:Será que devia estar num curso de engenharia? (estou em economia)

Sim.

bcancio Escreveu:As máquinas serão mesmo o futuro deste sector?

bcancio Escreveu:Será que devia estar num curso de engenharia? (estou em economia)

Atomez Escreveu:

(...) The result is a system that is more efficient, faster, and smarter than any human.

It is also harder to understand, predict, and regulate. (...)

In late September, the Commodity Futures Trading Commission and the Securities and Exchange Commission released a 104-page report on the May 6 flash crash. The culprit, the report determined, was a “large fundamental trader” that had used an algorithm to hedge its stock market position. The trade was executed in just 20 minutes—an extremely aggressive time frame, which triggered a market plunge as other algorithms reacted, first to the sale and then to one another’s behavior. The chaos produced seemingly nonsensical trades—shares of Accenture were sold for a penny, for instance, while shares of Apple were purchased for $100,000 each. (Both trades were subsequently canceled.) The activity briefly paralyzed the entire financial system.