Yeah, but economic variables only exhibit statistical behavior some of the time.
Actually, most of the time. But not all. I just read "Competition" by James Case, and people have looked at how well you can match values to statistical models. Distributions aren't exactly Gaussian, they're "Leptokurtotic", which is a fancy way of saying "shit happens" a lot more often than it should.
Waves also assume continuity, which translates to markets assuming liquidity. With credit markets drying up and loans being "orphaned" on balance sheets all over the place, discontinuities of of one kind or another are indicated.
Information theory is great, but it only ultimately keeps repackaging the things it has always dealt with. Shannon and Weaver's great contribution to information theory was of course informational entropy, which means "the more you say something, the less it means". Something new this way comes.
I haven't seen any compelling evidence that Kalman filters or other predictive wave assumption theories ultimately give better portfolio performance.
A true paradigm shift is under way, and there is no guarantee who will be the winners going forward.
Or the losers. I'm staying flexible and watching the tape.
Just my opinion.
Boy, was that esoteric...
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