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Comment: Dispatched from our Charing Cross Road, London bookshop. Very lightly shelfworn, slight lean, spine somewhat creased, else content clean. VG+. 8vo. pp xxiii, 424. Colour illustrated card wraps/pb. ISBN: 0691092567
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A Non-Random Walk Down Wall Street Paperback – 15 Jan 2002

5.0 out of 5 stars 2 customer reviews

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Product details

  • Paperback: 450 pages
  • Publisher: Princeton University Press; New Ed edition (15 Jan. 2002)
  • Language: English
  • ISBN-10: 0691092567
  • ISBN-13: 978-0691092560
  • Product Dimensions: 15.6 x 2.9 x 23.4 cm
  • Average Customer Review: 5.0 out of 5 stars 2 customer reviews
  • Amazon Bestsellers Rank: 763,011 in Books (See Top 100 in Books)
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Product description

Review

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 Journal "

With 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 Independent "

Where 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 "


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 Journal "


With 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 Independent "


Where 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 "

"Where are todays 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 doesnt 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"

"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 Journal

"With 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 Independent (London)

"Where 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

From the Back Cover

"This provocative collection of essays provides careful empirical analyses of the major anomalies that have appeared in financial markets in the thirty-five years since Paul Cootner's influential Random Character of Stock Market Prices. It provides convincing evidence against the random walk as applied to stock markets, and at the same time warns us of the dangers of finding spurious anomalies. It is a worthy successor to Cootner's classic."--Michael Brennan, University of California, Los Angeles

"This book is highly recommended to academic and private-sector economists who are interested in understanding better the behavior of financial market returns."--Lars Peter Hansen, University of Chicago

"The common feature of this work . . . is that it is guided by simple economic intuitions while simultaneously being econometrically rigorous and careful."--Bruce N. Lehmann, UC-San Diego

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1 July 2016
Format: Hardcover|Verified Purchase
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14 March 2003
Format: Paperback
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Most helpful customer reviews on Amazon.com

Amazon.com: 3.7 out of 5 stars 18 reviews
A customer
5.0 out of 5 starsInteresting Book
15 May 1999 - Published on Amazon.com
Format: Hardcover|Verified Purchase
7 people found this helpful.
Dr. Lee D. Carlson
5.0 out of 5 starsA non-random challenge to the random walk hypothesis
8 June 2001 - Published on Amazon.com
Format: Hardcover
133 people found this helpful.
SeanG
5.0 out of 5 starsnot a primer for day traders
9 April 2000 - Published on Amazon.com
Format: Hardcover
132 people found this helpful.
Ratatosk
4.0 out of 5 starsVery mathematical
6 October 2011 - Published on Amazon.com
Format: Paperback
3 people found this helpful.
A customer
5.0 out of 5 starsExcellent Econometric Analysis for the Right Audience
11 June 2001 - Published on Amazon.com
Format: Hardcover|Verified Purchase
40 people found this helpful.

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