Doktor-Arbeit über Fundamentalismus & Technische Analyse

300 Seiten:
Technical Analysis in Financial Markets
Gerwin A.W. Griffioen
University of Amsterdam
Date posted to database: July 20, 2004
zum Download: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=566882

50 Seiten:
An Evolutionary Adaptive Learning Model with Fundamentalists and Moving Average Traders
Gerwin A.W. Griffioen
University of Amsterdam
Date posted to database: August 5, 2004
zum Download: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=572403

(gerade gefunden, jedoch noch nicht gelesen,... aber sieht sehr interessant aus!)

Auszug aus ersterem (uebrigens sind die 50 seiten ueber fundamentalismus aus der ersten arbeit...):

...early statistical studies concluded that successive price changes are independent. These empirical findings combined with the theory of Paul Samuelson, published in his influential paper “Proof that Properly Anticipated Prices Fluctuate Randomly” (1965), led to the efficient markets hypothesis (EMH). According to this hypothesis it is not possible to exploit any information set to predict future price changes. In another infuential paper Eugene Fama (1970) reviewed the theoretical and empirical literature on the EMH to that date and concluded that the evidence in support of the EMH was very extensive, and that contradictory evidence was sparse. Since then the EMH is the central paradigm in financial economics.

Und jetzt sollte man sich fragen, warum die Finanz-Praxis im Gegensatz zur Wissenschaft nicht der Frage nachgeht, OB es moeglich durch historische Marktdaten eine ueberdurchschnittliche Rendite zu erwirtschaften, sondern WIE:

In financial practice it is not the question whether it is possible to forecast, but how the future path of a financial time
series can be forecasted. In academia , however, it is merely the question whether series of speculative prices can be forecasted than the question how to forecast.

Wenn die Praxis schon der Frage nachgeht, mit welchen Methoden es am besten geht, dann impliziert dies doch indirekt, dass es moeglich ist.

Man sollte sich auch die Frage stellen, warum die Wissenschat ein so grosses Interesse daran hat(te) "empirisch" zu "beweisen", dass es nicht moeglich ist. Denn waere es auch nur ansatzweise moeglich, dann haetten wir nicht die Kapitalmarkttheorie. Haetten wir diese Theorie nicht, waere die Boerse nicht tragbar. Und was waere, wenn wir (bzw das fiat-money-EXPERIMENT) die Boerse - so wie wir sie kennen - nicht gaebe?

grossartig!

ich finde ausformuliert meine Boersenphilosophie, die ich hier schon zigfach andeutete!

... Thus it is clear that it is a most hazardous task to perform accurate fundamental analysis.

Keynes (1936, p.157) already pointed out the difficulty as follows:

Zitat

"Investment based on genuine long-term expectation is so difficult as to be scarcely practicable. He who attempts it must surely lead much more laborious days and run greater risks than he who tries to guess better than the crowd how the crowd will behave; and, given equal intelligence, he may make more disastrous mistakes."

On the other hand it may be possible for a trader to make a fortune by free riding on the expectations of all other traders together. Through the market mechanism of demand and supply the expectations of those traders will eventually be reflected in the asset price in a more or less gradual way. If a trader is engaged in this line of thinking, he leaves fundamental analysis and he moves into the area of technical analysis.

Wie gesagt: "Ich bin ein Boersen-Parasit! Ich brauch keine Fundamental-Analyse (mehr!) zu machen, denn die Preiskurve zeigt mir u.a. was ALLE anderen Fundamentalisten fundamental ueber die Aktie erwarten!

It is assumed that fundamental analysts who have better access to information and who have a more sophisticated system in interpreting and weighing the influence of information on future earnings will earn more than analysts who have less access to information and have a less sophisticated system in interpreting and weighing information. It is emphasized that sound investment principles will produce sound investment results, eliminating the psychology of the investors.

Warum soll ich mir die ganze Arbeit machen & Stress geben & v.a. ZEIT INVESTIEREN, wenn es bereits Superhirnis gemacht haben??