Technical analysis, momentum, trend following, and the like, from an EMH-informed perspective.
I’ve been dismissive of anything that looks at past price information, but given that markets are clearly sometimes inefficient due to short selling being constrained by availability and cost of borrowing stock (which causes prices to be too high which can cause short squeezes), this can “infect” the market with inefficiency during other times as well (because potential short sellers are afraid of being short squeezed), which means there’s no (obvious) theoretical reason to dismiss technical analysis and the like anymore.
Hmm, so I’m realizing I can’t write much about this without revealing / implying certain key information about how we view things at my hedge fund. :/
Technical analysis, momentum, trend following, and the like, from an EMH-informed perspective.
I’ve been dismissive of anything that looks at past price information, but given that markets are clearly sometimes inefficient due to short selling being constrained by availability and cost of borrowing stock (which causes prices to be too high which can cause short squeezes), this can “infect” the market with inefficiency during other times as well (because potential short sellers are afraid of being short squeezed), which means there’s no (obvious) theoretical reason to dismiss technical analysis and the like anymore.
Oh nice, I can definitely write about this. This is basically what I do all day.
Hmm, so I’m realizing I can’t write much about this without revealing / implying certain key information about how we view things at my hedge fund. :/
But I found this document, which is pretty sane and goes into some details on this and other basic topics: https://bigquant.com/community/uploads/default/original/3X/7/d/7d3a0a5a4f0f2fbfd87b2c6e70037dd3c8f48e2c.pdf