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The stock market is a complex system, somewhere between the domains of order and randomness. Ordered systems are simple and predictable, and random systems are inherently unpredictable. Simple theories do not adequately describe security pricing, nor is pricing random. Rather, the market is permeated by a web of interrelated return effects. Substantial computational power is needed to disentangle, model, and exploit these return regularities.
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Jacobs et al. (1989) studied this question.
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