主题：【原创】谈谈时间序列的平稳性（1） -- 万里风中虎
到了关键时候还是要靠人的因素。
有时候算得特臭美，一到市场上就忘了，头一昏就满仓了，一满仓就套牢了，结果就白算了。
炒股有点像篮球，统计数据有利于教练帮助你提高训练成绩，可是你再训练，碰上姚明奥尼尔，还是要出问题。
不过，训练的总比不练的输得少点，好歹蹦蹦分散别人的注意力一下。
呵呵，仅供参考。
赚了不少吧？
And ITO lemma is applied to random walk. Price is modeled as brownian motion (one kind of random walk). But I think it's more relevant to continuous t.
That's beyond my capacity. Don't know how to explain it in Chinese (don't get me wrong, I'm not proud of it. I don't know the translations of most terminologies.Explaining is not what i'm good at. Questioning is, as you can see). It's more efficient if you can grab an econometrics book in chinese. Random walk is a very basic and popular topic.
Not really. It's a notorious topic generated years of debate. If stock price is random walk, then the market is efficient and all the modelers will lose their job. Now you understand what they are fighting for.
其实，我没炒股，呵呵。我就是不习惯你和虎大这些谦谦君子被王八拳骚扰（功夫再高，也怕菜刀啊）。我更喜欢看的，是虎大船长这种论剑式恳谈。
哎呀，跟帖里随便说说，我胆子小，害怕定点盯防。
上来就把大家搞的云里雾里的，这样反而让人觉得有卖弄之嫌疑。
活学活用！
这个世界上根本就没有能解决踏空问题（卖点）的方法，要么卖得早，踏空，要么卖得晚，回吐。市场波动的疯狂程度往往是超出人想象的，就如同一个疯子，发起疯来谁知道会做出什么来，但是不发疯，最安静是在什么时候呢？底儿好抄，顶难逃。
举个商品的例子，在七十年代，美糖的大底儿是1.5美分一磅，包装物都比糖还贵，几年之内，涨到80美分，其实当时大家都估计也就是四十美分就可以了，中途死掉了多少空头，NB的如克罗，在两美分时抄底儿，赔个稀里哗啦，因为随后糖才见了大底1.5美分，再入场，进进出出（期货需要不停换月，中间还可能要承受很多的远期升水，这会增加多单的成本，当然，也是贴水的时候），多单拿了五年，最后也不过抛在了60美分上。能卖个绝对的好价钱是不可能完成的任务，老巴自己不也这样么，牛市里少赚那么一点儿，熊市里少赔点，可以啦。
Don't quite understand here. Why should we start with something wrong while ADF already gave the right answer? My bottom line: OLS should not be used. Not matter how transparent it is to the audience, it's misleading.
This might be true. But you always have the choice not to bore them with your model details but lead them to your conclusion, as you usually do to industry audience.
It's not a tough call between an overly complicated model and a wrong model.
The results are misleading. The discussion is doomed. Trash in, trash out.
PS. I love most of your posts. This one is an exception.
多谢！
没事的，你老兄如果过来常讨论下，我们会有知识学的，而且我觉得你用英文术语更地道，反正有人感兴趣的话也应该明白。
我觉得对股价的走势判断上也是不可预期，而且个人山寨地用类似"薛定谔的猫"来解释。就是即使你可以看出每天涨到某个价位，但只要你买了，你告诉别人买了，或者你参与了，好，一切当初你所依仗的条件都变了，你当初的判断就没有意义了。即使这个股价真的到了那个价位，呵呵也和你当初的判断毫不相干了。