其实永远无法剔除市场的随机波动，而且似乎没有必要剔除。 因为如果市场总是在趋势中，那所有的专业交易员都能轻易赚钱。 交易员必须坦然接受亏损, 因为这是市场在做定期的清洗，其唯一的目的只有一个： ——淘汰和更换流动性提供者。
呵呵,这个命题还是留给经济学家去思考吧.想多了容易迷思交易的本质。 市场有效理论确实很容易让人信服。可是支使是随机的运动在一定的时间范围内总会呈现统计上规律性。而在交易投机的角度来看，就在于如何识别和利用这一规律性进行有风险套利。 交易是为了赚钱的。因此要考虑到你的资金规模和时间成本能否对应上一个市场的规律性的时间范围。通俗的说就是大家理解的中线，长线，短线。很显然，中有多长，短有多短不能够人为确定、或者事先确定。这取决于市场的有规律的范围时间。至于有规律如何定义，就生出了不同的交易策略。前面已说是有风险套利，这意味着必然会有失败的时候。而且还不少。所以需要一点赌局知识（类似于田忌赛马）和概率知识。 如果LZ思考的是无规律运动如何操作。那么意义应该不大。
【依天屠龙记】 张无忌对灭绝师太时用的心法 ： 便在这万籁俱寂的一刹那间，张无忌突然间记起了九阳真经中的几句话：“他强由他强，清风拂山冈。他横任他横，明月照大江。”他在幽谷中诵读这几句经文之时，始终不明其中之理，这时候猛地里想起，以灭绝师太之强横狠恶，自己决非其敌，照着九阳真经中要义，似乎不论敌人如何强猛、如何凶恶，尽可当他是清风拂山，明月映江，虽能加于我身，却不能有丝毫损伤。然则如何方能不损我身？经文下面说道：“他自狠来他自恶，我自一口真气足。”
Is the market too random to make money? Is the market too random to make money? 文章有点长 From a pureley statistical perspective it is very difficult to tell the difference between a random walk and a real price series. This is why academia clings so strongly to the random walk hypothesis (or perhaps it is of a case of sour grapes over hedge fund pay scales versus academic pay scales). For example, both will demonstrate very similiar properties, such as run lengths and if you construct a random walk appropriately, you can even get a random walk to simulate the skew and kurtosis (or fat tails as it is commonly known) of real price series. However, there are a number of difficulties with the random walk hypothesis. By their very nature, random walks are constructed out of a series of independent random events that determine whether the price moves up or down. On the other hand, price movement in real markets do not fit this pattern as events driving the market are rarely independent. For example: Different markets frequently display correlated behaviour as they move in unison to the flow of large investors and speculators moving their money around the globe (and if they don’t someone will leverage an arbitrage opportunity and make money so that the markets will correlate again). Multiple random walks just do not exhibit this behaviour. If you ever wondered why hedge funds are so obsessed with high end statistical packages that have advanced correlation testing tools, it is because a portion of their edge is built around analysing correlating behaviours between different markets; An individual market displays “path dependent behaviour” where price action will frequently test and retest established support and resistance levels or it will display price spikes as it punches its way through the level. This happens because support and resistance levels are price levels where traders have placed large numbers of conditional orders. Again random walks just don’t display this kind of behaviour. Many traders exploit the path dependence in the market in their trading strategies, either for break out trading, catching reversals, range trading and for stop hunting. In online forums for trading you will often hear some members saying “I have given up on indicators, I just use support and resistance levels”. It is because they are exploiting this behaviour; In a real market the volatility of the price moves in cycles. Price action will become congested when the market has reached an agreed price and is awaiting new orders based on new information before setting off again. A random walk does not display this behaviour as it does not sit and wait for more information before heading off again. Many traders exploit these volatility cycles as part of their break out trading strategies; Real markets are seasonal. In some futures markets, such as corn, soy beans, etc there are marked seasonal effects on price around summer and winter and similiarly around el nino and la nina. In other markets seasonal effects like presidential cycles, tax seasons and hedge fund manager bonus calculation times also impact upon the markets. Again a randomly walking price series does not demonstrate these. Some major hedge funds exploit this cyclic relationship in the portfolios they build; Structural and regulatory differences in markets and financial products also create non-random effects which are tradeable and don’t occur in randomly walking price series. For example, some hedge funds seek to exploit lax tax rulings around options (where the underlying stock is goverened by different tax regulations) in order to gain an edge. 结论是价格运动不是完全随机的。