As intelligence moves from arbitrary and erratic patterns of human discretionary knowledge-building toward a more systematic and organic AI, there is a need for a new market mechanism to validate, distribute, and reward intelligent processes. Such an intelligent market is built on a systematic,...

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...

Natural systems witness reversion and divergence simultaneously across different periods of time. This paper tests the performance proxy as mentioned in a previous paper on the ‘Mean Reversion Framework' for Markov's transition probabilities. The framework exhibits a stable pattern when tested...

Stationarity tests are used to detect mean reversion in a certain dataset. Mean Reversion processes suggest a non-random behavior in a time series (Lo and MacKinley, 1988). Previous research has focused on studying mean reversion at stock price level (Debondt and Thaler, 1985; Lindemann et al.,...