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This isn't so much an attempt to construct something immediately tradeable as much as an attempt to flesh out a generalized theory of market operation. The current month's issue of Futures magazine contains an article by a guy who has been pushing in this direction: that of breaking the...

Jack was saying? Nice work. I tried to understand that one idea and spent several hours on several occasions trying to figure it out. I simply don't have the patience for dealing with Jack. I also don't have easy access to volume info on the futures contracts. However, since you have done...

You have two jugs (a 5-gallon jug and a 3-gallon jug) and an unlimited supply of water. How to get exactly 4 gallons of water? This was on the movie "Die Hard With a Vengeance" the other night; although, I don't think the answer was given. . . . . . . . . . . . . . . . . ...

I don't think our definition of randomness is consistent here. To me, randomness as it applies to the market is the random deviation of prices around an average price. For this reason, perhaps, people are lured into using a coin-flipping strategy for entry, supposing that at some point they...

My point is if the system is deterministic then any entry would be okay because you know where that system is going to go. But, since the 'market system' is not predictable for any great length of time a 'random entry' will not help you in any sense because the market path cannot be determined...

I've discussed this before. That was before I learned it had been discussed long before: Nobody Asked Me, But...Let us recall that the entire subject of statistical properties of stock prices, which led to random walks and efficient markets, started out with the studies of streaks (they're...

No, huh uh. Here is an example of deterministic chaos: http://monet.physik.unibas.ch/~elmer/pendulum/chaos.htm The market behaves in much the same manner, swinging between up days/down days.:)

If the market were deterministic, then, I think flipping a coin to enter would be a valid strategy. But, since I think the market is chaotic, it is better to focus on determining how that chaotic structure works. In that context, coin-flipping is a useful tool for describing market activity...

Bet if we were unionized you'd show.

In a good book "Risk-Reward", the author Howard Abell distinguishes between the traits of gamblers and calculated risk-takers. "More than ever you need to understand the difference between a gamble, which has a high probability of loss, and a calculated risk, which has a much higher...

I agree with harrytrader on the first one. http://www.amazon.com/exec/obidos/tg/detail/-/0553026887/qid=1078060127/sr=1-26/ref=sr_1_26/103-5619660-4429460?v=glance&s=books...

Just wanted to say thanks for this thread in some way. Surprised myself with what I've been able to retain through the years. I've used this link by typing the topic titles into my search engine. http://www.gsia.cmu.edu/pfe/ITM/ffm.html

you guys be careful. Don't get so cross-eyed you can't drive. :cool:

good for you. :)

nice thinking...is that current? :D

Are you sure? On page 5 he describes how ARCH processes are used. He compares (through regression) the results of a statistical analysis of the historical variance (volatility) of returns to the returns predicted by both techniques. To do the same thing all you or I would have to do is find...

I'll assume you've had your drink for the evening and are enjoying yourself...if a system is predictable i.e. a cyclical market then what does that mean? It means that if you know the variables that control the transitions from one state of the market to another state, in other words if you...

This is as close as I can come to finding an answer for your question. It shows the actual economic return of several Garch variants compared to historical returns and compared to an exponential moving average. The markets covered include energy and metals, currencies and U.S. equity index and...

Just subscribe to Futures. Howard writes about spreads a lot. Alternatively, you could do a web search. Looks like he writes for theStreet.com as well: http://find.thestreet.com/cgi-bin/texis/author?au=A0805375 Quoting from John Holland author of Emergence: From Chaos to Order...