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Science Forum Index » Economy Forum » Weak efficient stocks for fundamental analysis
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 Posted: Wed Apr 30, 2008 12:43 pm |
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Dear newsgroup readers,
The collection of journals for the experimetal sciences Scientia
Ararneae Totius Orbis (S.A.T.O.) has published a new article. Its
about Efficient Market Hypothesis software
that can find the most profitable stocks by technical analysis to be
used as input for fundamental analysis in portfolio management.
Abstract is given below:
----------ABSTRACT----------
Efficient Market Hypothesis and the New York Stock Exchange
This article presents EMH software that can determine the strong, semi-
strong and weak efficient parts of the NYSE
EMH software is presented in this paper. The main coefficient the
software provides is the Efficiency Index, which correlates very well
with Signal-to-Noise and Shannon Entropy of the historical prices,
over a period of six years, of 100 stocks + Dow Jones Index. Against
the Efficiency Index, Auto-Correlation is constant (around 0.9). Since
101 items are representative sample size for the whole NYSE, two
tailed hypothesis testing revealed that 13% of the market is weak
efficient, 80% semi-strong and 7% strong. So only 7% is like a
completely random process. The EMH software can provide the 13% weak
efficient stocks, out of 3554 registered at NYSE that can successfully
be bought and sold with excess profits on basis of fundamental
analysis portfolio management.
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FULL PAPER AT: http://home.zonnet.nl/galien8 Volume 7 (2008)
QUESTIONS:
1) Is this new stuff?
2) Is there already software that will find the weak efficient stocks
that can (in excess) profit from fundamental analysis?
Kind regards,
Johan van der Galien
S.A.T.O. Chief-editor and webmaster |
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