arXiv 6 Jan 2018 · Econometrics · 6 citations (OpenAlex)
arXiv:1801.01948 · PDF · DOI · OpenAlex · Extracted main text
The purpose of this article is to propose a new "theory," the Strategic Analysis of Financial Markets (SAFM) theory, that explains the operation of financial markets using the analytical perspective of an enlightened gambler. The gambler understands that all opportunities for superior performance arise from suboptimal decisions by humans, but understands also that knowledge of human decision making alone is not enough to understand market behavior --- one must still model how those decisions lead to market prices. Thus are there three parts to the model: gambling theory, human decision making, and strategic problem solving. A new theory is necessary because at this writing in 2017, there is no theory of financial markets acceptable to both practitioners and theorists. Theorists' efficient market theory, for example, cannot explain bubbles and crashes nor the exceptional returns of famous investors and speculators such as Warren Buffett and George Soros. At the same time, a new theory must be sufficiently quantitative, explain market "anomalies" and provide predictions in order to satisfy theorists. It is hoped that the SAFM framework will meet these requirements.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Moffitt, S. D (2017) The Strategic Analysis of Financial Markets, Volume 1: Framework self | 1.000 | 10 | 4 | 100% |
| 2 | Moffitt, S. D (2017) The Strategic Analysis of Financial Markets, Volume 2: Trading System Analytics self | 1.000 | 5 | 3 | 100% |
| 3 | Miller, E. M (1977) Risk, Uncertainty, and Divergence of Opinion | 0.644 | 2 | 2 | 100% |
| 4 | Shleifer, A (2000) Inefficient Markets: An Introduction to Behavioral Finance (Clarendon Lectures in Economics) | 0.585 | 3 | 1 | 100% |
| 5 | MacLean, L. C., Thorp, E. O., and Ziemba, W. T., editors (2011) THE KELLY CAPITAL GROWTH INVESTMENT CRITERION:Theory and Practice, volume 3 | 0.511 | 2 | 1 | 100% |
| 6 | Kahneman, D (2011) Thinking, Fast and Slow | 0.511 | 2 | 1 | 100% |
| 7 | Haugen, R. A. and Heins, A. J (1975) Risk and the rate of return on financial assets: Some old wine in new bottles | 0.405 | 1 | 1 | 100% |
| 8 | Haugen, R. A. and Baker, N. L (1991) The efficient market inefficiency of capitalization-weighted stock portfolios | 0.405 | 1 | 1 | 100% |
| 9 | Bernard, V. L., , and Thomas, J. K (1989) Post-earnings-announcement drift: Delayed price response or risk premium? | 0.405 | 1 | 1 | 100% |
| 10 | Cooley, P. L. and Roenfeldt, R. L (1975) A comparative multivariate analysis of factors affecting stock returns | 0.405 | 1 | 1 | 100% |
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