Investing with Ben Graham: An Ex Ante Test of the Efficient Markets Hypothesis

En el contexto de una obra mucho más amplia y en ciernes, que propone como único sistema plenamente legítimo aquél cuyo cuerpo político viene constituido por la totalidad de habitantes del planeta, es conveniente traer a colación la filosofía política y económica de George Soros, porque aporta una visión muy diferente a la aplicada por los endiosados economistas que no supieron ver con antelación la Gran Recesión global en la que seguimos inmersos. La relación entre la realidad y el pensamiento es clave en el sorismo, como también lo es la distinción entre los diversos tipos de ciencias. La hipótesis de la eficiencia en los mercados también es cuestionada, junto con el concepto de equilibrio en economía, la incertidumbre y la falibilidad. También se acomete la crítica del fundamentalismo de mercado y a las propuestas regulatorias. Y todo en el contexto de una globalización económica poco política.Within the context of a much wider and developing piece proposing as only fully legitimate system the one the body politic of which is composed of the totality of inhabitants on the planet, it is convenient to bring to us the political and economic philosophy of George Soros for it adds a very different vision to that applied by the deified economists who could not in advance see the global Great Recession in which we keep on living. The relation between reality and thought is key within Sorism, as it is the distinction amongst the several kinds of sciences. The Efficient Markets Hypothesis is also put into question side by side with the concept of equilibrium in Economics, uncertainty, and fallibility. The critique of market fundamentalism is also implemented as well as the regulatory proposals. And all of it taking place within the context of a scarcely political but very economic globalisation.

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FRACTAL MARKETS HYPOTHESIS AND THE GLOBAL FINANCIAL CRISIS: SCALING, INVESTMENT HORIZONS AND LIQUIDITY

Advances in Complex Systems ◽

10.1142/s0219525912500658 ◽

2012 ◽

Vol 15 (06) ◽

pp. 1250065 ◽

Cited By ~ 43

Author(s):

LADISLAV KRISTOUFEK

Keyword(s):

Financial Crisis ◽

Complex Systems ◽

Financial Markets ◽

Global Financial Crisis ◽

Efficient Markets ◽

Investment Horizon ◽

Heterogenous Agents ◽

Efficient Markets Hypothesis ◽

The Global Financial Crisis ◽

Underlying Processes

We investigate whether the fractal markets hypothesis and its focus on liquidity and investment horizons give reasonable predictions about the dynamics of the financial markets during turbulences such as the Global Financial Crisis of late 2000s. Compared to the mainstream efficient markets hypothesis, the fractal markets hypothesis considers the financial markets as complex systems consisting of many heterogenous agents, which are distinguishable mainly with respect to their investment horizon. In the paper, several novel measures of trading activity at different investment horizons are introduced through the scaling of variance of the underlying processes. On the three most liquid US indices — DJI, NASDAQ and S&P500 — we show that the predictions of the fractal markets hypothesis actually fit the observed behavior adequately.

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