Toward a Theory of Marginally Efficient Markets

Empirical evidence suggests that even the most competitive markets are not strictly efficient. Price histories can be used to predict near future returns with a probability better than random chance. Many markets can be considered as {\it favorable games}, in the sense that there is a small probabilistic edge that smart speculators can exploit. We propose to identify this probability using conditional entropy concept. A perfect random walk has this entropy maximized, and departure from the maximal value represents a price history's predictability. We propose that market participants should be divided into two categories: producers and speculators. The former provides the negative entropy into the price, upon which the latter feed. We show that the residual negative entropy can never be arbitraged away: infinite arbitrage capital is needed to make the price a perfect random walk.Comment: 9 pages, 3 ps figure

Spartan Daily, November 21, 1977

Volume 69, Issue 56https://scholarworks.sjsu.edu/spartandaily/6277/thumbnail.jp

Imperiling Our Children: An Interview With Fred Stenson About Who By Fire

This interview with Alberta novelist Fred Stenson focuses on his most recent novel, Who By Fire. The discussion examines the role of environmentalists and the legal system in responding to the oil and gas industry in Alberta, as well as other issues connected to Stenson\u27s work

The Cowl - v.52 - n.14 - Feb 17, 1988

The Cowl - student newspaper of Providence College. Vol 52 - No. 14 - February 17, 1988. 24 pages

Information Outlook, January 2007

Volume 11, Issue 1https://scholarworks.sjsu.edu/sla_io_2007/1000/thumbnail.jp

Spartan Daily, May 9, 2006

Volume 126, Issue 54https://scholarworks.sjsu.edu/spartandaily/10254/thumbnail.jp

The Cowl - v.59 - n.23 - Apr 12, 1995

The Cowl - student newspaper of Providence College. Volume 59, Number 23 - April 12, 1995. 16 pages