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Hey bluelou, I ran some of the numbers on the link you referenced. Although, his idea is very intuitive and simple (which I like), there is a pretty strong systematic error bias that you should be aware of. 1) He asserts that brownian walk should give D=1.5, H=.5 I ran his formula over...

Could you clarify what your acronym VHF is? I assume you mean very high frequency indicator. By the way, that link you referenced is excellent; I wanted a way to simplify FDI on stochastic series with some meaning -- this approach is perfect for that. He also finds that the asymptotic...

Blulou, I've looked at some of your prior posts/ideas with interest. I like some of your the ways you are approaching markets. A few questions, particularly regarding hurst type of analysis. I've often looked at hurst as no better than simple visual TA (which in my opinion, is not very...

Invert the obvious, and approach the truth. :D

Not at all. In fact, it is counter to what most perceive to be primary drivers of large volatility (not so much volume of large incoming orders being executed, but more so, the profile of the order book distribution). My personal experience is that unless you have access to the actual MM order...

Interesting discussion here. While they are not directly addressing "tick rate," per se., there is a related argument that large price fluctuations (instantaneous volatility) are not so much determined by large orders or volume/tick rate in and of itself, but rather by available liquidity or...

Hey look at it on the bright side, if mccain get elected at least you'll know where one of the new bubbles will be... health insurance costs.:D Can you imagine what health insurance would cost without the weight of a company negotiating behind it? Assuming you qualify for it, under their...

but wait! Didnt' their diligent research show that removing the uptick rule and simultaneously getting rid of 80A collar would have no effect on volatility whatsoever? They proved it right?

wrong. Notice I specifically mentioned compounding. Now run it again under that assumption (if you are trading, it's a pretty good assumption). You can also assume just about any fixed% wager return under this scenario, as it will not change the probability of the outcome, it's more clear on...

Depending on how you look at it, there is some truth in your words. Trader or not, in a simple coin toss with only two outcomes the odds are already stacked against you. Assume you are compounding with a dollar bet and the possible outcomes are: -1,-1 1,-1 -1,1 1,1 What is the...

Downloaded phonetray a free filter application, looks promising. I'll report back after playing with it for awhile.

Getting harassed by tons of telemarketers and related bsers all day long. They seem to be immune to do not call list protocol. Anyone have any nifty solutions? I just answer and let loud music blaring into the speaker piece. Doesn't seem to do much, nor does telling them to quit. They use...

Which computers systems were selling in 1929?

anyone ever actually take a look at the past performance related to commercial positions? Notice they were gigantically net long, with large specs being equally enormously short-- RIGHT AT THE TOP. It pays to look at at actual history, before propagating specious myths -- they don't always...

If you understand the idea behind conditional heteroskedacity (GARCH, etc.), it is not that unlikely at all. Same reason I mentioned it much earlier in the thread. You are much more likely to get wildly volatile swings around highly volatile days than under normal conditions. So the fact...

most of the short ETF indices have a close correlation to VIX (although not 1:1). http://www.etf-central.com/vix-proxy-etfs-above-50-correlation-over-last-50-sessions-september-13th-2007-175 You can update the correlations of the list to get latest rankings.

:D http://www.illwillpress.com/FOR33.html

oh yeah... I was with you all the way stock trad3r.:D Apple juice tastes great!

These guys have the data feed you are looking for, but it isn't going to be free. http://www.iqfeed.net/index.cfm?displayaction=data&section=services Not certain if they have all instruments at 1sec, but that is an ENORMOUS amount of data per resolution to process in real time. Good luck...

You can just set up a var-covariance matrix in excel (normalize to joint variance to get correlation matrix). The only requirement/limitation is the data feed itself (the variables you want at the time resolution you want) and the sampling mechanism of excel (i.e. real time query). If you...