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Has anyone with the required background read the paper and would like to give a quick summary of the argument?
by dfc 15y ago
Has anyone with the required background read the paper and would like to give a quick summary of the argument?
- equark 15y agoThe basic idea is that given a financial time series of N periods with three states (up, neutral, or down) there are 3^N possible "strategies" to test, which is an NP problem. This doesn't seem right. It's completely atheoretical and ignores the market or asset structure. The question is not how many strategies there are, but how hard is it to compute the optimal price. Basic economic theory often can be used to derive the optimal price as a simple function of information (data). There may an argument that markets are inefficient that follows an NP=P style argument, but I suspect it would require a specific market structure, such as a set of agents that can only communicate via a sparse network.