A Non-Random Walk Down Wall Street
Summary
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A Non-Random Walk Down Wall Street by Andrew W Lo
Financial experts have regarded the movements of markets as a random walk - unpredictable meanderings akin to a drunkard's unsteady gait - and this hypothesis has become a cornerstone of modern financial economics and many investment strategies. This work puts the Random Walk Hypothesis to the test.
"What Andrew WLo and A. Craig MacKinlay impressively do ... [is look] for hard statistical evidence of predictable patterns in stock prices... Here they marshal the most sophisticated techniques of financial theory to show that the market is not completely random after all."--Jim Holt, Wall Street Journal "With all its equations, this book is going to turn out to be a classic text in the theory of finance. But it is also one for practitioners."--Diane Coyle, The Independent (London) "Where are today's exploitable anomalies? Lo and MacKinlay argue that fast computers, chewing on newly available, tick-by-tick feeds of market-transaction data, can detect regularities in stock prices that would have been invisible as recently as five years ago. One example: 'clientele bias,' in which certain stocks are popular with investors who have certain trading styles. A case in point that doesn't take a supercomputer to detect, is day traders' current enthusiasm for Internet stocks. Lo says that day traders tend to overreact to news--whether that news is positive or negative--so it should be possible to profit by taking the opposite side of their trades."--Peter Coy, Business Week
Andrew W. Lo is the Harris & Harris Group Professor of Finance at the Sloan School of Management, Massachusetts Institute of Technology. A. Craig MacKinlay is Joseph P.Wargrove Professor of Finance at the Wharton School, University of Pennsylvania. With John Y. Campbell, they are the authors of The Econometrics of Financial Markets (Princeton), which received the Paul A. Samuelson Award in 1997.
| SKU | Unavailable |
| ISBN 13 | 9780691092560 |
| ISBN 10 | 0691092567 |
| Title | A Non-Random Walk Down Wall Street |
| Author | Andrew W Lo |
| Condition | Unavailable |
| Binding Type | Paperback |
| Publisher | Princeton University Press |
| Year published | 2002-01-15 |
| Number of pages | 448 |
| Cover note | Book picture is for illustrative purposes only, actual binding, cover or edition may vary. |
| Note | Unavailable |