Bibliographic record
Abstract
Momentum strategies have widely been recognized in the literature for several markets, asset classes and time horizons. However, these strategies face a major objection as they significantly violate even the weak form of the efficient market hypothesis. Recently, it has been shown that, from a mathematical perspective, the inner dynamics of asset prices are better described by the Mandelbrot Market Model. This model uses fractal trends observed in real stock data, and the mathematical characteristics measured and used in the model show that trends in this fractal setup explain momentum. A central question attached to this mathematical analysis is why these long trends exist, economically. Although it has been documented well in the literature that investors are not rational and are prone to several biases, we show in this work by example that momentum strategies leverage fundamental, company-specific improvements of the business condition, capturing the value generation process. Consequently, this work supports the mathematical claims made previously: There are no efficient markets as investors constantly fail to anticipate available information.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.003 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.001 | 0.000 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.001 | 0.001 |
| Open science | 0.002 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.002 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".