Timescales in the Markets
information hierarchy and timescales
bottom layer - real economy - quarterly analysis of financial statements(backward looking)
middle layer (new way of seeing Leggett-Thiel) - people views - weekly trading horizon
top layer - market prices - daily ALGOs dominate - Rennaisance Capital? - extrapolation
Stock Market Analysis: A Review and Taxonomy of Prediction Techniques
- bottom layer - real economy - quarterly analysis of financial statements(backward looking)