The Black Swan (BS) was brought to popular attention in the book by Nassim Taleb. BS was an outlier, had an extreme impact, was open to causal explanation after it appeared and was hard to predict. BS explained how the idea of normality had to be rejected and the idea of power law had to be...

The financial markets are not only changing internally but also externally as blockchain starts to change the infrastructure landscape. The falling fees for investment management is creating a more accountable financial industry and forcing the stock market to also question its broader role in...

While Robert Solow suggested not to think of Economics as Science, Andrew Lo warned us about the dangers of using Physics to build economic systems. Physics has been a late entrant to the world of Finance. The subject has reached critical mass to answer some of the biggest challenges of Finance...

Adaptive Market Hypothesis (AMH) embraces Efficient Market Hypothesis (EMH) as an idealization that is economically unrealizable, but which serves as a useful benchmark for measuring relative efficiency. AMH's adaptability to changing dynamics of the market suggests that investors are...

John Rae's inter-temporal choices explained the statistical nature of human behavior in 1834. However, despite the subject's insight in the objectiveness of behavior, inter-temporal choices remains a peripheral science. This paper takes a sequential approach to question how inter-temporal...

Though ‘Size' is the most important factor explaining stock market returns the possibility of size being a proxy was first mentioned in Banz (1978). Even after forty years of factor investing the industry is still looking for answers. This paper chronologically lists the research on ‘Size'...

Information is an assumption for modern finance. The Efficient Market Hypothesis uses information to back its case of efficiency. The EMH case is weak, but as Martin Swell (2011) explains, until a flawed hypothesis is replaced by better hypothesis, criticism is of limited value. This paper...

The work of Jules Regnault, Francis Galton, John Rae and Vilfredo Pareto covered Duration, Behavior, and Value. Regnault talked about stock market science, statistical nature of Value, duration importance and price behavior. Galton laid the foundation for the robust behavior of Reversion in...

If Value is a statistical concept that transforms into Growth (Pal, 2016b) then the Mean Reversion Ranking Framework (Pal, 2015a) with its three bin classification Value-Core-Growth could be a new way to look at market efficiency and CAPM. The Value-Core-Growth RMI™ Indices built around the...

Momentum and Reversion have always been seen as independent of each other and never as a composite. This study explains how the two behaviors are not only connected but also get transformed into each other. This dynamics drives not only stock market systems but all natural systems. One reason...