The random milling theory and/or theory of the symmetrical erring travel is a direct consequence of the market efficiency theory. It describes the course of share quotations mathematically.

Description

According to the random milling theory the course signal can be divided after the theories of the signal theory into the trend and the Threshold:

S (t) = T (t) + P (t) + U (t)

S (t) means the signal, thus the course, T (t) the drift portion, P (t) the periodic portion and U (t) an independent intoxication portion.

The drift portion and the periodic portion are combined into the trend, which can be described by Moving AVERAGE. It is due to the instantanen Manifestation of all information equal to the information input function, i.e. the real information content of the course. This is a Zufallsfunktion, since exists no possibilities to predict the future process.

The Threshold is here equivalent to U (t), the independent intoxication portion. It is accepted in the random milling theory as informationless. A Brown' movement is postulated here.

Criticism at the random milling theory

The signal analysis by means of time series analysis DAX, DOW JONES etc. shows that the Threshold is not white noise.

Time series analysis of the Threshold

The Threshold is not normaldistributed, but has so-called "fat tails", i.e. there is a Leptokurtosis, which refers to a t-distribution. The moreover one it does not have a quasi-constant amplitude: Large amplitude oscillations of the Threshold, which forms so-called exist. The Threshold is a function of the noise with

A good approximation of the Thresholds is meanwhile given by the CH models.

Comparison with general beginnings

ARMA models after box Jenkins exhibit best fit approximationbeginnings for most DAX values, which do not correspond to random milling theory after Loistl, since these beginnings ARMA (p, D, q) exhibit \ cdot (P, D, Q) infinitesimal p, q.

Other beginnings

Alternatively to the random milling theory the course process with Markow chains can be approximated. (Thus the beginning of a function with complete forgetfulness).

Literature

• Loistl, "capital market theory"

Articles in category "Symmetrical erring travel"

We found here 176 articles.

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