Re: General Thery seminar

["J. Barkley Rosser, Jr." <rosserjb@xxxxxxx>]

Ronald,
       The French and Fama findings are a lot more
ambiguous than you are letting on.  They show
mean reversion, which means that there is regularly
overshooting beyond what fundamentalist investing
would do, which is then followed by a period in which
fundamentalists are pulling things back toward the
apparent fundamental, so to speak.   Thus, chartists
are regularly shooting prices "too high" or "too low",
after which the fundamentalists get their revenge, as
it were.  This kind of scenario fits with much of the
current complex heterogeneous agent modeling going on.
Barkley Rosser
-----Original Message-----
From: Ronald Calitri <calitrir@xxxxxxxxxxxxx>
To: POST-KEYNESIAN THOUGHT <pkt@xxxxxxxxxxxxxxxx>
Date: Tuesday, February 01, 2000 11:08 AM
Subject: Re: General Thery seminar


>Rely to
>
>> Harry Veeder > >From: "Ronald Calitri" > >Paul Henry Barkley Ted
>> >    Henry's model is actually quite good. It is however, a crowded
>terrain
>> >compiled from many papers. The financial market emulates academic
>finance;
>> >and there wouldn't be a game if everybody wasn't able to win at least
>> >somewhat consistently. By the way, Henry you are right that returns are
>> >falsifiable; you neglect to note this is the standard practice in most
>> >living corporations. The indices are compiled with error.
>> >    So Barkley, let's try a different "game". Suppose there are two
types
>of
>> >traders in the market: True and False. The True traders adhere to their
>own
>> >fundamentals. That is, they cast their balance sheets and income
>statements
>> >after every trade. That is for ordinary investors, whose borrowing or
>> >lending depends on present circumstances.
>> >The False traders cast their balance sheets only when they are
overbought
>or
>> >over-sold. The distinction is designed to allow them to appear less
>hedged
>> >when appealing to borrowers and more hedged when going after investors.
>That
>> >is for corporate investors with accounts on many sides that may be
loaded
>> >off.
>>
>> I like your discussion but I don't like your characters.
>> It seems to me there are insecure traders and secure traders.
>> Secure traders cast their balance sheets and income statements
>> *before* every trade. The insecure trader is either undersold or oversold
>> because they cast their balance sheets and income statements only after
>> every trade.
>
>You have it exactly the opposite. the "False" traders are "Securitizing".
>They cast accounts that are biased for financing purposes. The "True"
>traders are "insecure" in the sense that they are required to be fiduciary.
>It is more a matter of social position than choice, most people leverage
>wealth only once or twice. Think about how you would cast your
circumstances
>in a good light if you would like to obtain a loan. It is hard. Then
imagine
>how if you had a business you would arrange streams of loans and bookings
of
>transactions to accomplish this "falsehood". If you cannot do this in your
>head, it is good for 8 % of the work-force.
>
>By the way, French and Fama showed over a decade ago and repeatedly that
>fundamental accounts guide  the stock market; so this way of thinking would
>appear to have some influence.
>
>Chiao,
>Ronald Calitri
>
>>
>> Harry Veeder
>>
>>
>
>