Dear Nitro, you DO so love to overcomplicate things! Kindly tell me how all your math describes the agony of self-doubt which fills the minds of day traders who are long from a morning run when they are 30 minutes into a subsequent thee tick consolidation with steadily declining volume? Beads of sweat pop out as the interval between ticks lengthens. Fingers hover tremblingly over the Sell button. The urge to look away from the chart, to anywhere, becomes nearly irresistable. Only a blow job under the computer table or the blessed relief of a breakout will assuage the anxiety. You just want the market to MOVE, by now you don't care which way. Just end the waiting! With all due respect from a former applied mathematician. Mike.
Book: The Misbehavior of Markets
- Thread starter jerryz
- Start date
Oh, and BTW, you shouldn't embarass yourself commenting on optimal filtering. A moving average indeed is an optimal solution to SOME problem, you just don't know WHICH problem that is. Even a lowly alpha filter is better than an MA. If you don't know the existence conditions for a valid Kalman filter and have never designed a multi-state one for the market or anything else, pipe down.
Actually for mathematicians these maths are a simplification not a complexification - it is only seems complex to those that are not trained in it. For example, amongst the most complicated objects in all of mathematics to mathematicians are the integers. To us, they seem like the most natural objects.
The mathematics that you know in relation to what is needed to even start talking about market dynamics is say kindergarten level. The math that I know in relation to what is needed is probably not much more than that. The mathematics that _exists_ currently is probably barely enough to correctly set the right context for the problem, although as I have stated above I believe that multi-fractals and log-levy statistics are a first good approximation.
nitro
The mathematics that you know in relation to what is needed to even start talking about market dynamics is say kindergarten level. The math that I know in relation to what is needed is probably not much more than that. The mathematics that _exists_ currently is probably barely enough to correctly set the right context for the problem, although as I have stated above I believe that multi-fractals and log-levy statistics are a first good approximation.
nitro
Two interesting quotes from "Trillion Dollar Bet":
STAN JONAS: When do you admit that you're wrong, start all over again, or when do you hang on and assume that the markets will turn around in your way? That's the biggest decision we all have to make. However, there's one thing that's clear. Over the last several hundred years we've been able to identify some people that can do it better than others. They don't necessarily go to MIT; they don't necessarily have degrees in mathematics, though that doesn't automatically rule them out. They're the kind of people that can make that judgment that says, some thing's different here, I'm going back to harbor until I figure it out. Those are the kind of people you want running your money.
PAUL SAMUELSON: There is a tempting and fatal fascination in mathematics. Albert Einstein warned against it. He said elegance is for tailors, don't believe in something because it's a beautiful formula. There will always be room for judgment.
STAN JONAS: When do you admit that you're wrong, start all over again, or when do you hang on and assume that the markets will turn around in your way? That's the biggest decision we all have to make. However, there's one thing that's clear. Over the last several hundred years we've been able to identify some people that can do it better than others. They don't necessarily go to MIT; they don't necessarily have degrees in mathematics, though that doesn't automatically rule them out. They're the kind of people that can make that judgment that says, some thing's different here, I'm going back to harbor until I figure it out. Those are the kind of people you want running your money.
PAUL SAMUELSON: There is a tempting and fatal fascination in mathematics. Albert Einstein warned against it. He said elegance is for tailors, don't believe in something because it's a beautiful formula. There will always be room for judgment.
Einstein was not a mathematician, in fact he was a very poor one. It was Minkowski that set Special Relativity in the proper mathematical setting.
When he needed to develop a general theory of Gravity, he went off for nearly ten years to study the Tensor mathematics of the time. Only then was he able to correctly express the intuition of the Principle of Equivalence and go from stationary frames (Special Relativity) to accelerating frames (General Relativity).
nitro
Here is the answer from Einstein:
http://www.elitetrader.com/vb/showthread.php?s=&postid=161351&highlight=einstein+and+joke#post161351
http://www.elitetrader.com/vb/showthread.php?s=&postid=161351&highlight=einstein+and+joke#post161351
Quote from rs7:
Repeating this one....I know I had it in another thread somewhere. But this seems like an appropriate venue:
Einstein is waiting on line to get into heaven.
Realizing it's a long line and can take a while, he decides to engage his fellow recently deceased companions in conversation.
Asks the guy next to him what his IQ is.
Guy says 110.
Einstein says, "cool, we can talk about women and sports".
Asks the guy in front of him what his IQ is.
Guy says 140.
Einstein says, "cool, we can play chess and discuss physics".
Asks the guy behind him what his IQ is.
Guy says 80.
Einstein says, "cool, how's the market doing?"
Peace,
rs7
That's a lot of knowing for a guy like you.
Is that genuine nitro talk or Jack talk?
nononsense
Not to put too fine a point on it, Nitro, but here's a case today didn't require much math: a double top on lower volume. I took five ticks out of it in a scalp. A Cray would probably still be grinding out a fancy solution.