Dec

22

Alfred Cowles

December 22, 2024 |

A stock market person who is always sensible, with a memorable reference to Harold Davis:

Alfred Cowles

Dutch biochemist Charles H. Boissevain…advised him that multiple-correlation analysis could be applied to economic research and recommended that he speak to Harold T. Davis, a mathematician at Indiana University who spent his summers in Colorado Springs and a member of the fledgling Econometric Society. Cowles called Davis to ask if it was possible to compute a correlation coefficient in a problem involving 24 variables. Davis suggested that the calculations could be performed by Hollerith punch card machines, developed by a company that would later become International Business Machines (IBM). Cowles acquired a Hollerith computer and worked with Davis on the problem. When it turned out that the machines were ill-suited to the task, Cowles decided to perform a series of linear regressions to test the hypothesis that market analysts using current estimation techniques could not outperform random guessing.

Can Stock Market Forecasters Forecast?, By Alfred Cowles 3rd, December, 1932

This paper presents results of analyses of the forecasting efforts of 45 professional agencies which have attempted, either to select specific common stocks which should prove superior in investment merit to the general run of equities, or to predict the future movements of the stock market itself. The paper falls into two main parts. The first deals with the attempts of two groups, 20 fire insurance companies and 16 financial services, to foretell which specific securities would prove most profitable. The second part deals with the efforts of 25 financial publications to foretell the future course of the stock market. Various statistical tests of these results are given.

Harold Thayer Davis, a forgotten great and his time series book was the first to calculate the distribution of runs of all lengths.

Vic's X/twitter feed


Comments

Name

Email

Website

Speak your mind

Archives

Resources & Links

Search