An Intriguing History of Financial Series Prediction
4 stars
While many modern economists push back against the idea that one can make money from projecting forward past market trends (which Lo and Hasanhodzic push back against in later chapters), given market frictions in the past this was much more plausible. Commodity prices could take weeks or months to propagate to other regions, making prediction profitable and immensely challenging. This book charts the mystical roots of these predictions in early history, moving towards more data-driven and accurate approaches developed in Japan and a few other areas in more recent centuries.
The tight coupling of technological changes with new methods of technical analysis is generally instructive, having implications for many other industries and practices that rely on arbitrage, market power, or gut instinct to drive decisions. Highly recommend