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1、CHAPTER9WhenDataandRealityDon’tMatchSpencerBurnsItiscommonknowledgethatbeatingthestockmarketishard.Butonthefaceofthings,itseemslikepurelyananalysisproblem,notadataproblem.Modelingisdifficult;buildingatimeseriesshouldbesimple.Foreveryday(orminute,ormillisecond),fore
2、achuniquestocksymbol,thereisalistedpriceatwhichyoucanbuyshares,andyoucansellthosesameshareslater,comparingthetwopricestocalculateyourprofit.Everyassumptionintheprecedingstatementisusuallytrue,yeteachofthemfailoftenenoughtoruinamodel.Aseriesofstockdatamaylookstructu
3、redandclean,butthatneatnesshidestheidiosyncraticpathofhowagivenstockgottowhereitistoday.Itis“good”datacoveringupformessyreality.Stockdatadoesnotcomeoutofindependentobservationsofmarkets;thedataisanintegralpartofthemarket.Thereisatightfeedbackloopwheredataaboutthest
4、ateofthemarketaffectsthemarket(e.g.,risingpricesmaycausepeopletopushpricesupfurther).Furthermore,whathappensinthemarketcanchangethenatureofthemarket.Someexamplesofthisarewhencompanieswithfallingpricesleavethemarket,oroneswithrisingpricesbuyothercompanies,orwhenmark
5、etcrashestriggerchangesintradingrules.Whatthismeansinpracticeisthatthestockmarketoftodayisnotexactlythesameasthemarketofyesterday;everydayisanewexperiment.Dataneedstobeconstantlyadjustedinsmallwaystomakeyesterdaycomparabletotoday.Magnifyingthisproblem,mosttradingst
6、rategiesareonlyjustbarelyprofitable(orun‐profitable)onaverage,addingupalargenumberofsmalltransactionstogetsignificantresults.Eventinysystematicerrorscancompoundintogrosslymisleadingresultsinanalysis.Theavailabledatamightrepresentrealityclosely,butthesmallmismatches
7、matter.119Belowarethreeexamplesofhowthepicturepaintedbythestockpricesdoesnotmatchthehistoricalreality.Thesearenotobscuredomain-specificdetails,butwouldaffectanyonelookingatpricesoncommondatasourceslikeYahoo!orGoogleFinance.WhoseTickerIsItAnyway?Imaginethatatsomepoi
8、ntinthepast,youwantedtoknowwhattheidentifyingtickersymbolswereforKmart,Sears,andSprint.Table9-1.StocksymbolsforKmart,Sears,andSprintovertimeStart
