CN's Blog

In our meeting today, we briefly talked about the thesis presentations last week.  I plan to e-mail Professor Ishii and respond to his concern about the long-term differenes between EMH and AMH (my response is basially that there aren't any, but the issue I am trying to address really is in the transition phase, in which the two views do differ).  Prof. Nicholson's concern about the significance of the filter trading rules is more of a direct problem that I need to address.

What I will accomplish over Interterm:

• Run all of the necessary autocorrelation tests
• Develop a criteria for significance of filter trading rules
• Look at points in history in which efficiency might be affected in the Hong Kong stock market