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Product Description
A Non-Random Walk Down Wall Street (9780691092560): Andrew W. Lo, A. Craig MacKinlay: Books. What Andrew W. Lo 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 JournalWith 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 IndependentWhere 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
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