Book: The Misbehavior of Markets

Quote from dont:

IMHO you are almost certainly right about the non-commutative algebra part. The beauty of those geometry's is that they imply an uncertain relationship al la Heisenberg, so probability enters as a function of the geometry not an ad hoc enforced assumption.
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Right!

...We need a proponent of the field to simplify it for the rest of us.
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Yeah. FWIW, there are probably a few people doing this kind of research as it applies to understanding market dynamics. That is, how some of the modern mathematical tools that have been developed in an attempt to explain our toughest problems like the Reimann Hyp and GUTs are being applied to Phynance, at places like Rentec and Citadel, and certainly many at Universities.

I don't even have the qualifications to walk in the door - just enough understanding to know that it makes sense to talk about it in these terms.

nitro
 
I guess Nitro must know this book well. :D

Q
http://www.amazon.com/gp/product/15...7?v=glance&n=283155&n=507846&s=books&v=glance

Potential users often get the impression that jump and Lévy processes are beyond their reach.Financial Modelling with Jump Processes shows that this is not so. It provides a self-contained overview of the theoretical, numerical, and empirical aspects involved in using jump processes in financial modelling, and does so in terms within the grasp of nonspecialists. The introduction of new mathematical tools is motivated by its use in the modelling process, and precise mathematical statements of results are accompanied by intuitive explanations.
UQ
 
Quote from Hook N. Sinker:

Markets do not misbehave. People misbehave. Markets are just places where buyers and sellers meet.
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Right.
No need trying to fit noncommutative junk or jump-like nonsense to markets. This is only good for market-clowns impersonating mathematicians before a kindergarten public. No good for anything else. It suffices to extract money from markets. Only the truly nimble can.

nononsense
 
It's not as hard as you think. This type of behavior can be quantified, identified and predicted. Now, keep sweating and clicking away as my formulas slowly steal all your money. :p

Quote from hypostomus:

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.
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Wow amazing, I'm switching to staring at charts and drawing lines all day.

If I wasn't so lazy I'd code up some stuff to scan my tick database and find how many times that pattern happened and didn't turn out the way it did in your screenshot.

I'll be convinced when you can provide some real numbers as to how many times this pattern goes the way you think it will.

Quote from hypostomus:

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.
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Quote from stephencrowley:

Wow amazing, I'm switching to staring at charts and drawing lines all day.

If I wasn't so lazy I'd code up some stuff to scan my tick database and find how many times that pattern happened and didn't turn out the way it did in your screenshot.

I'll be convinced when you can provide some real numbers as to how many times this pattern goes the way you think it will.
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nitro :D
 
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