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To note, Markowitz (father of modern portfolio theory) didn't actually win THE Nobel Prize. He won A Nobel Prize - specially, a memorial prize in memory of Nobel - which is not the Nobel Prize that we think of.

You are confused. I was talking about natural science vs. social science, and the methodology thereof. Don't kid yourself, there is very little real science here. It's all witchcraft. Games we play to be fooled by randomness (to quote Taleb). Give me evidence that the market isn't...

Chaos Theory is really just that - a pretty name. It's actually a study of a general class of differential equations. Fractals, wavlets, etc.... are just that. Interesting little toys that are useful when it comes to natural science. The market is not natural. The market is social...

It's called data mining. It's like draw support and resistance lines on a chart.

Has everyone thought about doing opening plays with ES? I noticed that ES tend to trend a bit during the first 30 minutes of trading. I just kind of made this casual observation. Does anyone use this fact in their trading?

I can't see why you would. The spread is HUGE. It's not very liquid. The margin structure stinks. Go with an FX broker if you really want to trade currencies.

This has NOTHING to do with the randomness of price movement. Win/Lose ratio will explain this perfectly. Your profitablity ratio neither confirms, nor denies, the topic at hand. It is entirely irrelevant to the statistics presented, which I can confirm to be correct. I have done these tests...

1% a day not compounding is 365% a year, and 3,778% compounding. Think about it.

I don't see why it would be any useful than the channels that all instruments are bound to form at some point (even random walk series form wonderful technical patterns). Yet, it is dubious at best to use VIX at an indicator of any value. It has some merit when it comes to predict volatility...

I'm curious, why should there be any 1-to-1 correlation between the movement of VIX and SPX or OEX? The last time I checked, there isn't anywhere close to a significant relationship between the two.

Try "the Economist".

Hum..... I think #1 actually went to my highschool..... she's definately in my year book.....

On a related note, does (ES - (X + SPX)), where X is the I-D (whether it should exist or not is beyond me. I'll let the pros settle the ongoing argument), have any significance? Basically, I'm asking if program trading also occures on Eminis.

I stand corrected.

Actually, I don't think the tick data would be any value. It then becomes a matter of both under and over sampling (sound strange, doesn't it). Under in the sense that you are still only getting a local subset of the global price set (a set that if you actually have, you wouldn't need to do...

Unfortunately, I no longer have these data. I locked them away in my university account years ago, and haven't looked at them for a long while. They've probably been purged from the account already I'm guessing. However, I do recall that the distribution isn't all that "normal." IF I...

JJ, is the 0.4-0.6 range across various instruments or different time frame for a single instrument (intraday, 5-min, daily, weekly, etc...). The reason why I ask is because when I ran such tests in the past, it seems that it's more or less possible to establish non-brownian behavior on just...

JJ, true enough. But the devil is in figuring out what is a high hurst and what is a low hurst.

Thanks for all the replies. I was really wondering why the IB demo is so inaccurate although they say it's the same thing, just delayed. In anycase, it does look like I have a whole lot of studying to day. Thanks again.

Thanks for the fair warning. I'm gonna test-trade the real data a little more. Thanks for the replies.