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 ,  ,     ?  ,   ?  ,    -  ,        ,        ,     ;      ,    .  , ,    ,    ,     - . , ,         ;  ,    ;    ; ,    ,         ;  ,       , ,       .         ,     ?!    ,    , ,       ,   .

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   , ,  ,        , 頖    .    . -,  1907. ..   ,     ,        .     ,    .

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      :           .  1929.          .     .       3%    1928.  1929.  2008.    24% 堖 ,    9%  .     2007.  2008.     17%,       1929.[1 - Romer C. D., From Recession toRecovery: TheEconomic Crisis, thePolicy Response, andtheChallenges We Face Going Forward, Testimony before theJoint Economic Committee, October 22, 2009 http://www.whitehouse.gov/assets/documents/JECTestimony_October09-final.pdf (http://www.whitehouse.gov/assets/documents/JECTestimony_October09-final.pdf)].

    ,       : ,  ,         . , -,      ,     2008.      .

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      ,   x[2 - Sperandeo V. Trader VicII Principles ofProfessional Speculation. John Wiley & Sons, Inc. 1994, p.208.].


         .               ࠖ  .        ,      .            ,   .         ,  ,   ,          .

     ,  . ,   ,    ,       ,  . ,      . ,    , ,             ࠖ - .     ,      .

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 ,  ,      ,    .    ,      .   ,  ,   .  ,   , ⻠          -.         .      ,    .   ,    .    (  蠫,  )    蠫  , ..   ().     ,  ,           .

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 [3 -    ,   .]:     젖   


    .         ,    .           [4 - Soros G. TheAlchemy ofFinance. John Wiley andSons,Inc.].        ?          ?       .

  ,  ,     .  ,    ,   ,       [5 - Jones P. T., forward inSoros G. TheAlchemy ofFinance. John Wiley andSons,Inc.]. ,             ,    ,   -  .   - (-)   :   ,     .         ,     .  ,  ,    , , , .

     .,     .[6 - Caldwell Br. Popper andHayek: Who Influenced Whom? Presentation atKarl Popper, 2002.], , --   - ,         .       ,   :

1)    ;

2)  ,    ;

3)            (patterns).



  : ,    ,   ,   .  , ,      (  ) [7 - Caldwell Br. Hayek: Right fortheWrong Reasons?    . Truth andProgress inEconomic Knowledge, , ,         ,      .]. ,         ,             ().  ,  ,   .  -       . ,       ,        ,       .

     , .,    ,     ,   , .    ,    [8 - Stiglitz J. E. Information andtheChange intheParadigm inEconomics. Nobel Prize Lecture, December 8, 2001.].

.         .     , ,   ,   .          [9 -    .,     ,    .:       ,   ,     ,  ;  , , , . Knight F. H. Risk, Profit, Uncertainty. Boston, MA: Hart, Schaffner & Marx; Houghton Miffin Company, 1921.].      ,   ,   ࠖ   ,  -          [10 -        ;      :      ,    (bad-model problem). ,       CPM      ,       , .].          ,       .          , ,    ,    .           .

  -,  ,  , ,  ,  ,     ,          .  ,          ,      ,     .    ,        ,           .

          .        (bias,    ꠫ 蠫).         .     :  ()  (  ).  :      , 頖   .        , .

 ,   ,    , ,  ,  .    ,    ,   -  ,     .

 ,      :     ,   .       ,     .  ,  ,      , ..    .

      ,       ,    . ,      ,     ,     .   ,       .   ,  ,   . ,      ,  .       ,     ,  :

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    , 堖  [11 -   ,     , : 1)    ; 2)     (    ); 3)    . Gilson R. J., Kraakman R. TheMechanism ofMarket Efficiency Twenty Years Later: TheHindsight Bias, Columbia Law andEconomics Working Paper, No. 240, October 2003.].

       ,    , ,  ,     .      ,  ,   .     ,       .   ,    ,   .

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ʠ,     ,   ,   ,       ,    .    ,  .     ,  .    젖 ,   ,   :  ,    ,  ,  ,     ,   ,   ,    .

           ,   .    ,    ,  .        ,  1.3.








   ,   ,  :   ,  ?         , ,   .     ,  ,    ,  廠      .            (interpreters).           [12 - Fisher F. Beyond Empirism: Policy inquiry inPostpositivist Perspective. Policy Studies Journal, Vol.26, No. 1 (Spring, 1998). .  . www.philosophy.nsc.ru/study/bibliotec/philosophy_of_science/feye/rabend/fayerabend.htm (http://www.philosophy.nsc.ru/study/bibliotec/philosophy_of_science/feye/rabend/fayerabend.htm).]. ,       ,      .    ,    ,      .

             ,    . ,  ,   , ,       :  (patterns) .       .

 ,  ,     ⠫   ().        ,      ,     . ,  ,   ,   .      ,   ,     (relative value).

    , ,  , , ,    ,   ,     蠫 .  ,      ,     ,   .  ,   ,   .     ,    [13 - ,  ࠖ  ,   , ..   .].   ,           .          .

  ,      .    , ,  .     .   ,  ,    ,       , ,      .

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 ,       ,     (efficient market theory,   ꠫efficient capital market theory),      random walk theory.   . . (Bachelier)     1900.     .  ,     .   ,      , ,   ,   ,    . ,   ,  ,     ,      .    ,    . (Samuelson) 1950- . . (Working, 1934)            ,     . ʠ       . (Kendall, 1953),   ,   ,   . . (Osborn, 1959)  ,      (,     ). ,     ,              (   ).  1961. . (Muth)    ,  ,           .  1965. . (Fama)        (  . 1905.).     ,  ,      ,    , ,       ,     .  ,   ,        (..      ).   1965.     . ʠ     ,           ,    ,   .   ,   (randomness)              .    1967.  (Roberts)      .       . 1970.      ,     .   ,  ,          .    (   )   ,  ,        ,     ,    .

            .     ;    ;  ࠖ  ,      .     ( CAPM)    ( 蠖 ), ..   ,   .

    (homogeneous expectations, consistent beliefs)  ,    ,   ,  .        , ,   ( )     ,   ,      .

  ,     ,    ,      .        . ,  ,          .  ,           .           蠫  .

       ,     .         ,  ,   . ,  ,     ,     ,   ,      .      ,    , ,  ,  ,     .

 ,       ,  [14 -  ,  Joshua D. Coval, David Hirshleifer, Tyler Shumway (CanIndividual Investors Beat theMarket? Working Paper, December 2002),   , 10%     ,    .  ,       , ,      ,  ,   .]. , ,     .

, ,     .          ,   ,  . ,  ,  20    .    20072009.      .   ,  , , ,        ,   ,   .   ,   (20072009.),         , ..      .   ,     ,   ( ), , ,     ,  ,   [15 - Bauer R. J. Jr. Genetic Algorithms andInvestment Strategies, John Wiley & Sons, Inc. 1994.]. ,  ,  . ,     .    ,             . ,     .

    (behavior finance)     ,     .       [16 - Gilson R. J., Kraakman R. TheMechanism ofMarket Efficiency Twenty Years Later: TheHindsight Bias, Columbia Law andEconomics Working Paper, No. 240, October 2003.],    :  ,  ,   ,     .

   ,             (  -).     ,     ,  [17 -      (basis risk).].  ,     ,    ,    [18 -            .    ,            .       ,    ,   .].

       . ,     (short sale)       ,      컠 ,    CAPM.   . ʠ     ,   ,  .

ʠ     . ,  ,        堖   ,         . , ,          . ,      ,        .         ,      ,     .  ,   ,     [19 -   ,   ,   -.      ,    ,   . Stein J. Why are Most Funds Open-ended? Competition andTheLimits ofArbitrage, Working Paper, No. 10259, National Bureau ofEconomic Research, February 2004.].

   ,  [20 -        .  ࠫ   ,           . Duggan M., Levitt St. Winning Isnt Everything: Corruption inSumo Wrestling, American Economic Review, Vol.92, No. 3, 2003.]  ,      ,    , ,      ,       ,     .

      ,            (noise traders . noise,  .     -   )[21 - . . :      ,    ,  ,   .        ,       .].

, ,  ,  ,    [22 - Barberis N., Thaler R. ASurvey ofBehavioral Finance, Working Paper, No. 9222, Sept. 2002.], ,       . ,       LTCM[23 -  ,  ,      .] 1998.,      , 頖   .         ,    .        -    .

      ,  ,     ,      ,      䠖   .           .  ,       ,    ,      .

    ,   ,  ,         ,     .   ,     ,    (, , 2003)[24 - Gilson R. J., Kraakman R. TheMechanism ofMarket Efficiency Twenty Years Later: TheHindsight Bias, Columbia Law andEconomics Working Paper, No. 240, October 2003.].

 ,   ࠖ   ( )     ,        -    . ,  ,  [25 -  ., , ,    ,     ,   .  , ,    ,    ,         . Peter L. Bernstein. Capital Ideas: theImprobable Ideas ofModern Wall Street. John Wiley & Sons, 2005.].          .      ,  ,  ,      ࠫ[26 -  -  :    ,  ,     .]. , ,         .       .

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    (Modern Portfolio Theory MPT),  .,         . ,         .        (, variability ofreturns).           ,  .     , ,   ,   ,      .  ,  ,  ,    - .     ,   .         .

,     ,         .     ,     ,  ,   ,   , .. ,  ,     ,    .    ,     [27 - Goetzmann W. N., Li L., Rouwenhorst R. G. Long-Term Global Market Correlations, Working Paper, No. W8612, NBER, November 2001. Campbell J. Y., Lettau M., Malkiel B. G., Xu Y. Have Individual Stocks Become More Volatile? AnEmpirical Exploration ofIdiosyncratic Risk, Journal ofFinance 61 (1):                ,    .].  ,    ( ) ,   ,    XIX XX.[28 -    ,  ,           . ,  Deutsche Bank ,         80%   ,     蠖 25%.     40%      .      15%,   .  ,   ,    ,    20%,   40%,      60%,   75%. Deutsche Bank, EM Special Publication, Dissecting Returns inSearch oftheEM Factor, 9 November 2007.]

    ,  :         .  ,     ,     ,    ,      .     ,   -  [29 - ,   (William Goetzmann)   (Adok Kumar),   40000     19911996. , ,   . Goetzmann W., Kumar A. Equity Portfolio Diversification, Yale ICF Working Paper, No. 0059, November 2002.].

  ,      ,      ,  .       , .,  [30 - Amstrong F. Capital Asset Pricing Model, www.investorsolutions.com/ArticleShow.com (http://www.investorsolutions.com/ArticleShow.com).],  ,         .      (Capital Asset Pricing Market, CAPM),    . .[31 -   ,   ,   , ,   .],     :   (  ),     ( /  /  )     ( /  /  /  ).       [32 -    .      .].     b (     ).  蠖     .  ,     [33 - Sharpe W. F. Investment Strategy forthelong term, UBS Wealth Management magazine, 2nd quarter 2004.].      ,       ,   . ,    ( ),    .  APM     :




  =   + ? ? (   ),







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r    ;

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 ,       (    [34 -     ( )    -      ,    2008.       .             .    ,      50   , ,     ,  ,   . Fama E., French K. TheEquity Premium, TheJournal ofFinance, April 2002.]),     , , ,  . ,   ,     ,    . ,    ,     ,    .

,     ,      ,     .    ,  /  /  /        , ..        .  ,  , ,           ,      [35 -       ,          .].

 ,   ,           .   CAPM       ,  [36 - Sharpe W. F. Indexed Investing: AProsaic Way toBeat theAverage Investor.  Monterey Institute ofInternational Studies, May 1, 2002.].

CAPM      ,      .     CAPM    ,           ,   ,       .

ʠ CAPM     .          (  S&P500),     ,     .  , ,       ,  ,         ,   [37 - Malkiel B. G. ARandom Walk Down Wall Street, WW Norton & Company, 1973, p.234.].

       ,     .    ,      (     )    [38 -    Are Calculated Betas Worth forAnything? (IESE Business School, Working paper)   3813  60,  2002.       15,7     .        2,7     .   ,   ,    ( ),  .].  , ,        ,     . ,   Nokia  75%  ,       .        , ,  ;     ..  ,    蠖   .

     CAPM (    )     ,     :   ,   ,   蠫 [39 -        . ,    36 ,   ,    ,   .      1694.           (     3,5%).].    , ,  ,     [40 -       :         ,        ?      ,           (myopic aversion):        . ʠ   , : )    ; )  ; )  ,   ,    ; )     .].

   ,  ,            [41 - Olsen R.A. Are Risk Premium Anomalies Caused byAmbiguity? Financial Analysts Journal, March/April 2000, Vol.56, No.2.].        ,    .         . ,         ,   ,    ,   ,   CAPM.

       ,    . ,    ,      .            .

  ,    [42 - Shalit H. andYitzhaki Sh. Estimating Beta, Review ofQuantitative Finance andAccounting, vol.18, No. 2 (March 2002).]     [43 - ,      ,  . Heston St.L., Sadka R. ThePeriodic Term Structure ofStock Momentum. Working Paper, July 5, 2002.].        ,      (bad-model problem). ,   CPM    ,      .  ,    ? ,      , [44 - Fama E.F. Market Efficiency, Long-Term Returns, andBehavioral Finance, Working Paper, June 1997.].

        ,      [45 - Fama E.F., French K.R. TheCapital Asset Pricing Model: Theory andEvidence, CRSP Working Paper, No. 550, August 2003.].    CAPM . . 1993.   .         (),     (book-to-market)   [46 -    (Warren Baffett) , ,      ,   .      ,      ,   . , ,    ,  ,   ,       .  ,  ,   , ,   ,   ,    .]. , CAPM,     ,         ,  ,  , CAPM,     .  ,       ,    ,    ,       ,     [47 - Fama E.F., French K.R. Value Versus Growth: TheInternational Evidence. Working Paper, Social Science Research Network Electronic Library.].

 1997.      (characteristics model),     蠖   (growth; distress).  ,       ,   ,     .     [48 - Daniel ., Titman Sh. Market Efficiency InanIrrational World. Financial Analysis Journal, November/December 1999, Vol.55, No.6.].

           , 頖 .        ,      CAPM,        .   ,   19731993.,    CAPM,     19291997.[49 - Davis J.L., Fama E.F., French K.R. Characteristics, Covariances, andAverage Returns: 19291997, TheCenter forResearch inSecurity Prices, Working Paper, No. 471, February 1999.]        .            [50 - Pastor L., Stambaugh R.F. Comparing Asset Pricing Models: AnInvestment Perspective. Working Paper, July 1999.].

 ,        ,          .     ,     ,     ,    .       ,          ,     .

,     ,         .       ,      .       ,         .




,   


 ,      .  .       (IRP interest rate parity)   (PPP purchasing power parity).  ,           .

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 ,     ,          , ,         . IRP      (蠫 ).      ,       .    IRP  ,       ,    .  IRP   -  , ..        .  , ,       ,   ,   .

    (Р purchasing power parity) ,           . ,   ,  ,   ,   ,  ,     .     - ,  ,    ,     .      , , ,  堖  16 [51 - Levich R. M. Can Currency Movements Be Forecasted? AIMR Conference Proceedings: Currency Risk inInvestment Portfolios, June 1999, p.35.]. .1.4, ࠖ , ,            .      ,  .   ,  : ,    7%.  ,        ,  ,   ?  ,    ,        , ,     .








 IRP, ,    -   .    ,        ,        ,  .

  1980- .       ,     ,      .     .       ,   ,     .         ,  . ,    ,       ,      ,     .

  ,        1,4000,  1,1200.     10. ,           .

 :        20002001.        .    ,    ,         , . 20012002.   ,       .  ,     ,      .  ,     :   ( )         .

   ,   :        ,  .   ,        ,      - ,   ,         [52 - Kilian L., Taylor M. P. Why isit SoDifficult toBeat TheRandom Walk Forecast ofExchange Rates? European Central bank, Working Paper, No. 88, November 2001.].




3. 





,  


     

   蠖   ,      ,   .    ,    .

     :

 .     ,     (universally-informed trading);

 ,        (professionally-informed trading);

,        ,     (derivatively-informed trading);

,  (uninformed trading).

         ,   .             [53 - Gilson R. J., Kraakman R. TheMechanism ofMarket Efficiency Twenty Years Later: TheHindsight Bias, Columbia Law andEconomics, Working Paper, No. 240, October 2003.]. ,     . ,    ,   ,      .  ,        ,    . ,   1998.  CNN,    ,      -.            , ,  , CNN      .   , - ,         .  ,        .

   ,        , ,       .    ,  ,     .

     , , ,    ;      .      ,          . ,  1990- .,        ,       -   ,      1987. ʠ ,    , ,    .  ,        ,    (, )   .

       ,     .  ,      ,    . ,    1998.,     .

 ,           ,   ,     .    ,  , ,      .   , ,     ,     .




   


         .       .   1994.               .c  .      .       .

                ,  c     .       ?

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.

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:  -, 18851990.



     .     ,     1940. ,       ,       ,  .      :  ,      ,    ,  . ,           ?

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 2001., 


 2001., 


 2001.     2001. 堖  .

        , ,    ,  -     ,       .        .

        , , ,   ,   .    , , ,    ,        [54 - Levich R.M. Can Currency Movements Be Forecasted? AIMR Conference Proceedings: Currency Risk inInvestment Portfolios, June 1999, p.30.].

 ,         . ʠ,      2002.,                .      .

  2002.                .       ,  ,  .   ,      ,   ,   




  .


   .

   ,     (https://www.litres.ru/saymon-vayn/investicii-i-treyding-formirovanie-individualnogo-podhoda-k-prinyatiu-investicionnyh-resheniy/)  .

      Visa, MasterCard, Maestro,    ,   ,     ,  PayPal, WebMoney, ., QIWI ,       .



notes








1


Romer C. D., From Recession toRecovery: TheEconomic Crisis, thePolicy Response, andtheChallenges We Face Going Forward, Testimony before theJoint Economic Committee, October 22, 2009 http://www.whitehouse.gov/assets/documents/JECTestimony_October09-final.pdf (http://www.whitehouse.gov/assets/documents/JECTestimony_October09-final.pdf)




2


Sperandeo V. Trader VicII Principles ofProfessional Speculation. John Wiley & Sons, Inc. 1994, p.208.




3


   ,   .




4


Soros G. TheAlchemy ofFinance. John Wiley andSons,Inc.




5


Jones P. T., forward inSoros G. TheAlchemy ofFinance. John Wiley andSons,Inc.




6


Caldwell Br. Popper andHayek: Who Influenced Whom? Presentation atKarl Popper, 2002.




7


Caldwell Br. Hayek: Right fortheWrong Reasons?    . Truth andProgress inEconomic Knowledge, , ,         ,      .




8


Stiglitz J. E. Information andtheChange intheParadigm inEconomics. Nobel Prize Lecture, December 8, 2001.




9


   .,     ,    .:       ,   ,     ,  ;  , , , . Knight F. H. Risk, Profit, Uncertainty. Boston, MA: Hart, Schaffner & Marx; Houghton Miffin Company, 1921.




10


       ;      :      ,    (bad-model problem). ,       CPM      ,       , .




11


  ,     , : 1)    ; 2)     (    ); 3)    . Gilson R. J., Kraakman R. TheMechanism ofMarket Efficiency Twenty Years Later: TheHindsight Bias, Columbia Law andEconomics Working Paper, No. 240, October 2003.




12


Fisher F. Beyond Empirism: Policy inquiry inPostpositivist Perspective. Policy Studies Journal, Vol.26, No. 1 (Spring, 1998). .  . www.philosophy.nsc.ru/study/bibliotec/philosophy_of_science/feye/rabend/fayerabend.htm (http://www.philosophy.nsc.ru/study/bibliotec/philosophy_of_science/feye/rabend/fayerabend.htm).




13


,  ࠖ  ,   , ..   .




14


 ,  Joshua D. Coval, David Hirshleifer, Tyler Shumway (CanIndividual Investors Beat theMarket? Working Paper, December 2002),   , 10%     ,    .  ,       , ,      ,  ,   .




15


Bauer R. J. Jr. Genetic Algorithms andInvestment Strategies, John Wiley & Sons, Inc. 1994.




16


Gilson R. J., Kraakman R. TheMechanism ofMarket Efficiency Twenty Years Later: TheHindsight Bias, Columbia Law andEconomics Working Paper, No. 240, October 2003.




17


     (basis risk).




18


           .    ,            .       ,    ,   .




19


  ,   ,   -.      ,    ,   . Stein J. Why are Most Funds Open-ended? Competition andTheLimits ofArbitrage, Working Paper, No. 10259, National Bureau ofEconomic Research, February 2004.




20


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