public

Andrew W. Lo, PhD

Andrew W. Lo, PhD

Andrew W. Lo is the Charles E. and Susan T. Harris Professor at the MIT Sloan School of Management and director of the MIT Laboratory for Financial Engineering. He received his Ph.D. in economics from Harvard University in 1984. Before joining MIT’s finance faculty in 1988, he taught at the University of Pennsylvania’s Wharton School as the W.P. Carey Assistant Professor of Finance from 1984 to 1987, and as the W.P. Carey Associate Professor of Finance from 1987 to 1988.

He has published numerous articles in finance and economics journals, and has authored several books including The Econometrics of Financial MarketsA Non-Random Walk Down Wall StreetHedge Funds: An Analytic Perspective, and The Evolution of Technical Analysis. He is currently co-editor of the Annual Review of Financial Economics and an associate editor of the Financial Analysts Journal, the Journal of Portfolio Management, and the Journal of Computational Finance.

His awards include the Alfred P. Sloan Foundation Fellowship, the Paul A. Samuelson Award, the American Association for Individual Investors Award, the Graham and Dodd Award, the 2001 IAFE-SunGard Financial Engineer of the Year award, a Guggenheim Fellowship, the CFA Institute’s James R. Vertin Award, the 2010 Harry M. Markowitz Award, and awards for teaching excellence from both Wharton and MIT.

Array
(
    [0] => stdClass Object
        (
            [ID] => 43137
            [post_author] => 35924
            [post_date] => 2016-04-15 12:00:56
            [post_date_gmt] => 2016-04-15 16:00:56
            [post_content] =>  

LETTER FROM THE EDITOR

This month we provide a small sample of work from a few of the speakers who will be presenting their research at the Annual Symposium. In the next few issues we will be providing summaries of some of these presentations in Technically Speaking. As there are every year, this year’s presentations will include a number of new ideas for your consideration and at least a few of the ideas could add to your profits in the coming year. This issues also includes a summary of the material presented at the inaugural meeting of the Philippines Chapter of the MTA. Regional chapter meetings are a way to learn more about technical analysis and more importantly to meet other analysts. If you haven’t been to a chapter meeting, check for local events by clicking here. The Symposium, Chapter meetings and this magazine are all benefits of membership. The MTA is focused on providing information to you, the members, through a variety of means. To help us personalize the experience, please let us know what you’d like to see in Technically Speaking this year by emailing us at editor@mta.org. Sincerely, Michael Carr [post_title] => Technically Speaking, April 2016 [post_excerpt] => [post_status] => publish [comment_status] => closed [ping_status] => closed [post_password] => [post_name] => technically-speaking-april-2016 [to_ping] => [pinged] => [post_modified] => 2020-08-03 11:25:53 [post_modified_gmt] => 2020-08-03 15:25:53 [post_content_filtered] => [post_parent] => 0 [guid] => https://cmtassociation.org/?post_type=technically_speaking&p=43137 [menu_order] => 0 [post_type] => technically_speaking [post_mime_type] => [comment_count] => 0 [meta_id] => 343148 [post_id] => 43137 [meta_key] => newsletter_content_8_contributor [meta_value] => a:1:{i:0;s:5:"43171";} ) [1] => stdClass Object ( [ID] => 44215 [post_author] => 35924 [post_date] => 2015-06-15 12:00:49 [post_date_gmt] => 2015-06-15 16:00:49 [post_content] =>

LETTER FROM THE EDITOR

Technical analysis has always been focused on the application of knowledge. In the early editions of Edwards and Magee’s Technical Analysis of Stock Trends, they focused on how to trade chart patterns. But these pioneers of the field also included a theory explaining why the pattern should work.  While applying the ideas of technical analysis is still the important consideration to practitioners, many academic researchers are working to uncover why the techniques work. In this month’s newsletter, we provide articles highlighting both the application of technical analysis and the research that technical analysis is stimulating in the academic community.  This month’s newsletter also includes a summary of Tom Dorsey’s presentation at the Annual Symposium. The Symposium truly does provide a year’s worth of ideas and we will be presenting summaries of those ideas in the months ahead. Videos of this year’s presentations and the previous four years are available at http://symposium.mta.org/ and can be viewed at anytime. As always, we welcome your feedback. Please let us know what you think of Technically Speaking, the MTA magazine, by emailing us at editor@mta.org. Sincerely, Michael Carr [post_title] => Technically Speaking, June 2015 [post_excerpt] => [post_status] => publish [comment_status] => closed [ping_status] => closed [post_password] => [post_name] => technically-speaking-june-2015 [to_ping] => [pinged] => [post_modified] => 2020-08-03 11:28:49 [post_modified_gmt] => 2020-08-03 15:28:49 [post_content_filtered] => [post_parent] => 0 [guid] => https://cmtassociation.org/?post_type=technically_speaking&p=44215 [menu_order] => 0 [post_type] => technically_speaking [post_mime_type] => [comment_count] => 0 [meta_id] => 358925 [post_id] => 44215 [meta_key] => newsletter_content_4_contributor [meta_value] => a:2:{i:0;s:5:"17502";i:1;s:5:"43171";} ) [2] => stdClass Object ( [ID] => 47797 [post_author] => 2 [post_date] => 2010-04-15 12:00:18 [post_date_gmt] => 2010-04-15 16:00:18 [post_content] =>

Letter from the Editor

In this month’s newsletter, we take a look at several recent research papers on technical analysis. The field has been well studied by the academic community, and in many cases, the studies really do support our approaches. For example, relative strength has been the subject of a number of research papers. Academics prefer the term “momentum” to relative strength, but reading through any of the papers you will quickly see the underlying concepts are the same. The idea that momentum persists in stock prices has become so well documented that it is now acknowledged as a known anomaly of the Efficient Market Hypothesis. Many of the common indicators can be thought of as derivative of relative strength, and in fact Richard Tortoriello demonstrated the effectiveness of Wilder’s RSI in his book Quantitative Strategies for Achieving Alpha. The academic community could prove to be a valuable source of trading ideas for the motivated technician. Math can appear to be a hurdle – while we as technicians tend to look at winning percentages and profit factors, academics use more daunting statistical techniques. Papers tend to explain and illustrate the mathematical concepts. This is done so that others can reproduce the results. For those new to reading this type of work, you could start by reading the abstract, introduction, and conclusion. If the results seem like something you can use in your work, wading through the math would be well worth the effort. Personally, I have found a great deal of value in the academic work on momentum. There are also a number of papers showing that momentum doesn’t work well at times, and I have been able to use these papers to prepare a model showing when the risk is greatest for relative strength strategies. For those wanting to get started on studying the diverse literature available to us, a good place to start is the Social Science Research Network (www.ssrn.com) where a search on the term ‘technical analysis’ yields 1,000 hits. Not all the papers are relevant to technicians, and not all papers are available for free download. But there are many hours of reading and testing available for those willing to dig into the field of technical analysis. For those wanting to talk about whether or not academic research fits into the TA community, maybe we can continue this discussion at the MTA Symposium to be held in New York. Late May is a good time for us out-oft-owners to gather there, it should be the ‘not too cold, not too hot’ time of year. The speakers lined up by the MTA are among the best in the industry, and there is always ample time to learn from the other attendees. It’s time well spent on professional education and personal collaboration. Sincerely, Mike Carr, CMT [post_title] => Technically Speaking, April 2010 [post_excerpt] => [post_status] => publish [comment_status] => closed [ping_status] => closed [post_password] => [post_name] => technically-speaking-april-2010 [to_ping] => [pinged] => [post_modified] => 2020-03-20 11:50:54 [post_modified_gmt] => 2020-03-20 15:50:54 [post_content_filtered] => [post_parent] => 0 [guid] => https://cmtassociation.org/?post_type=technically_speaking&p=47797 [menu_order] => 0 [post_type] => technically_speaking [post_mime_type] => [comment_count] => 0 [meta_id] => 420269 [post_id] => 47797 [meta_key] => newsletter_content_5_contributor [meta_value] => a:3:{i:0;s:5:"47808";i:1;s:5:"43171";i:2;s:5:"47810";} ) [3] => stdClass Object ( [ID] => 48334 [post_author] => 2 [post_date] => 2008-07-15 12:00:07 [post_date_gmt] => 2008-07-15 16:00:07 [post_content] =>

Letter from the Editor

This month’s issue brings a great deal of news about our organization. To paraphrase Executive Director Tom Silveri’s excellent presentation at the May Symposium, “The state of the MTA is stronger than it has ever been.” The letters from Past President Phil Roth and newly inducted President Larry Berman describe some of the efforts which have led to our growth and strength over the past few years. We also have a detailed report about the MTA Educational Foundation course being taught at the University of Richmond. The Foundation has been actively promoting technical analysis within the academic community for a number  of years. For those interested in learning more about this organization, more details can be found at their web site,  www.mtaeducationalfoundation.org. A redesign of the site is currently underway, so check back often for the latest information. Three pages of Technically Speaking are devoted to the life and work of Ian Notley, who will be missed by all who had the pleasure of meeting him. Ian’s work is certainly important, and we are able to present a few examples. We also hope you’ll take the time to read the remarks of Ian McAvity and Karl Wagner. We received several other remembrances of Ian that we didn’t have room to print. This space is not just to pay tribute to a life well lived. Ian inspired many during his career, and we hope that more will be inspired by reading about him. He embodied all that the MTA is – knowledge, innovation, friendship, and mentorship.

In Memoriam Ian Sydney Notley It is with great sadness that we report the passing of long-time MTA Member and friend, Ian Sydney Notley. Our thoughts are with him and his family

Sincerely, Mike Carr, CMT Editor [post_title] => Technically Speaking, July 2008 [post_excerpt] => [post_status] => publish [comment_status] => closed [ping_status] => closed [post_password] => [post_name] => technically-speaking-july-2008 [to_ping] => [pinged] => [post_modified] => 2020-03-24 16:22:57 [post_modified_gmt] => 2020-03-24 20:22:57 [post_content_filtered] => [post_parent] => 0 [guid] => https://cmtassociation.org/?post_type=technically_speaking&p=48334 [menu_order] => 0 [post_type] => technically_speaking [post_mime_type] => [comment_count] => 0 [meta_id] => 431444 [post_id] => 48334 [meta_key] => newsletter_content_3_contributor [meta_value] => a:2:{i:0;s:4:"7251";i:1;s:5:"43171";} ) )

Contributions