Tag Archives: momentum

The tightrope of the random walk

We’re really interested in markets, but we’ll start with a series of coin tosses.  If the coin lands heads, then we go up one; if it lands tails, we go down one. Figure 1: A coin toss path.Figure 1 is the result of one thousand coin flips.  It is a random walk. The R command … Continue reading

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Are momentum strategies antisocial?

We’ll get to “antisocial” via a look at a chapter in The Future of Finance from the London School of Economics. The chapter in question is “Why are financial markets so inefficient and exploitative?” by Paul Woolley.  There are many things in this chapter with which I agree.  There is roughly an equal number of … Continue reading

Posted in Fund management in general | Tagged , , | 2 Comments