Ep. 782: Going Back to MIT with Michael Covel on Trend Following Radio
Michael Covel's Trend Following
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The Importance of Random Walks in Finance
As a grad student, I was taught by a number of faculty that really the efficient markets hypothesis was gospel truth. The thing that got me started down another path was the fact that I enjoy dealing with data and looking at numbers as part of my research. And together with my co-author Craig McKinley, we designed this statistical method that used a very specific property of random walks. We were shocked to learn that according to our test, the stock market did not follow random walks.
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