Degrees of Freedom

[man]

you made my day. i honestly think that many times when people refer to game theory within trading context they in essence mean very simple things. like: always link your betsize directly to your chances. i think that this is essentially the true secret of poker. i would not expect a pro poker player to bluff against another pro. if there are three, the weakest will deliver all his chips, between the remaining luck will be the key factor.
but who am i to tell ...

 

[man]

Quote from stephencrowley:

... This type of thing is common in embedded systems design, scientific computing, agent based model simulations, monte carlo, genetic algorithms, etc ...

such a big agenda often yields to nothing or even less ...

 

[andread]

Quote from man:

you made my day. i honestly think that many times when people refer to game theory within trading context they in essence mean very simple things. like: always link your betsize directly to your chances. i think that this is essentially the true secret of poker. i would not expect a pro poker player to bluff against another pro. if there are three, the weakest will deliver all his chips, between the remaining luck will be the key factor.
but who am i to tell ...

interesting. To me game theory means something more complex:


http://en.wikipedia.org/wiki/Game_theory


Have you seen "A Beautiful Mind"? John Nash won a Nobel Prize for his work on game theory. Surprisingly, he won a Nobel in economics, but he is a mathematician

 

[man]

in my understanding this is not the usual context in which game theory is used in trading context. but i might be proven wrong. the importance of modern game theory is that it shows that the invisible hand as proclaimed by economist john smith is a suboptimal concept for both society and the single decisionmaker. that is quite something, since up to this finding ecomonists were sure that rationale egocentric ambition would serve society and the individual best. whereas the new game theorists are more in line with categoric imperative. at least that is my understanding.

 

[horribilicus]

Quote from man:

the importance of modern game theory is that it shows that the invisible hand as proclaimed by economist john smith is a suboptimal concept for both society and the single decisionmaker.

Most economic pontificators prefer to invoke the name of Adam Smith.

 

[Grob109]

Quote from Thunderdog:

Just to clarify a point here. My post on page 9 of this thread, which has since been quoted and responded to a few times, was addressed to nitro in his response to man on page 8 of this thread in connection with string theory. As I understand it, string theory falls within the realm of physics. I do not see how an understanding of physics contributes to the study of trading and the markets. I understand probability theory as I have studied it in school. It obviously has application in the markets, though not as cleanly as some people would like to think, in my opinion. However, I am not sure I would refer to probability theory as advanced math. Perhaps I am mistaken. However, please understand that my post on page 9 referred to advanced math and physics. Of course, since I am conversant in neither, I may well be talking through my hat. But I don't think so.

Physics, both relatiavisitic and non-relatavistic goes for the jugular statisitally and probabilitywise.

Get a starter book on statisitical mechanics, for example.

Lipshitz and Landau will start you.

 

[Grob109]

Quote from stephencrowley:

Fascinating. What do you think of Systems Theory? Would you consider what you to do be 'simulatuion'? If so, have you found it useful to combine continuous time, discrete time, and discrete event simulations into one framework?

Much of what I'm leaning towards is a new paradigm for programming where the concepts of threads, traditional logical steps, etc are supplemented with inherently parallel simulations.

This is not completely new, but it is in terms of mainstream programming languages and software it is. This type of thing is common in embedded systems design, scientific computing, agent based model simulations, monte carlo, genetic algorithms, etc. All this stuff can be unified into a systematic approach where they are all used together in a larger system.

Of course, you can simulate the flow of time and that is basically what you do when you back-test, or make trading decisions, or forecast prices, volatility, or if you are an economist you simulate sample paths from volatility models, etc.

Systems theory is neat because it extends the object oriented programming paradigm to inherently include the concept of the flow of time, where everything is executed in parallel and semaphores are used at each entry-point to synchroniz all the parallel execution paths.

Within this framework, it allows you to mix and match models in a more intuitive way by explicitly modelling the flow of information between simultaenously executing models without having to spend the time to analytically dervive the relationships between completely different sub-models.

Go to a few ISAGA conferences and you will meet some of the neat contemporary players. Especially focus on casual meetings with the panelists who do the Q's to the paper presenters.

Systems theory is where the Risk minimization automated box comes from and there you saw how what you think is parallel threads is really a case of using an apropriate numeration base.

Shortly you will find out that each system of numeration has its own algebra and that most people use transformations to get to use algebra and convert back to the original math functionality.

If someone cut your balls off in school don't worry about it. Get yourself to a place with some resourses (human and otherwise).

 

[man]

Quote from horribilicus:

Most economic pontificators prefer to invoke the name of Adam Smith.

uh. how embarrassing! should use my brain while posting ...

 

[stephencrowley]

Quote from Grob109:

Go to a few ISAGA conferences and you will meet some of the neat contemporary players. Especially focus on casual meetings with the panelists who do the Q's to the paper presenters.

Systems theory is where the Risk minimization automated box comes from and there you saw how what you think is parallel threads is really a case of using an apropriate numeration base.

It is a mixture of both, some things are parallel and some are serially dependent, it depends on how you design your system.

Shortly you will find out that each system of numeration has its own algebra and that most people use transformations to get to use algebra and convert back to the original math functionality.

If someone cut your balls off in school don't worry about it. Get yourself to a place with some resourses (human and otherwise).

Thanks for the advice. I never went to school actually, but I've recently started studying this stuff (numerical simulation,control), with a professor on an individual-study basis..should be fun to have someone who understands this stuff, instead of reading and thinking all day.

 

[Grob109]

Quote from stephencrowley:

It is a mixture of both, some things are parallel and some are serially dependent, it depends on how you design your system.



Thanks for the advice. I never went to school actually, but I've recently started studying this stuff (numerical simulation,control), with a professor on an individual-study basis..should be fun to have someone who understands this stuff, instead of reading and thinking all day.

Series/parallel is what I meant, loosely, by the combo of terms steering and focus.

I'm glad to hear that you are saddling up with another person. I'm sure he is an adept trader as well. You both will have your work cut out for you to recover from the commodities false start (which still puzzles me).

ISAGA papers and being a panelist and a thoeretical physics background were all interwoven with my trading carreeer with began right after grad school. This combo precluded my becoming entranced with applying anything but logic to the money making opportunity. Logic turned out to be the only pathway to iterative refinement of effectiveness and efficiency for making money based upon the potential that the market offers.

I feel that I learned very soon that, in gaming theory, the market only deals continually; there is no game, in fact, if no set of rules is involved since the market only deals continually. Backtesting is simply an intemporate measure used to find out the dealing sequence.

Logic, I feel, focuses on the participants and their psychology, strategies and responses. Front running these is a logical approach. Series parallel logic networks with the minimum degrees of freedom as inputs allows for a "sufficiency" based network to constantly reset to appropriately activated defaults for continuing to make money or to deal with only one end effect that involves taking profits and commencing another leg of profit taking. Market pace and market sentiment emerge as pertinent descriptors for controlling the five stages of front running that are required.

Interpret front running as a name for " anticipation" of the whole range of alternative paths, possibly electable. Market participants, collectively, continue to close paths (in one or more dimensions) singly or in blocks until one path remains and it becomes more acceptable than remaining in situ.

Weighting matters as can be seen by the characteristics of sentiment and pace. The most interesting weighting comes from the persistence factors associated with both. A philosophy of the symmetry of history best applies. I use MLR for this. Three durations suffice and the vector angular velocity works best. This is an application of convergence/divergence and simultaneous first and second derivatives.

i psent about 25 years getting down what the market does, how it owrks and why things happen the way they do. With these details in mind, I was able to get the logic that epicts the markets straight.

when the eminis weree invented another opportunity hit the streets because a new set of participants arrived on the scene. They are in stark contrast to the "smart money" that has been around since time immemorial. You can see here in ET how the maths that differentiates the moves of smart money and others operates. It is a defined leading/lagging relationship all now posted in software for anyone's use. This is the embodiment of front running at its best. It is a logic based approach simply because there is no gaming element involved.

Position trading is done the same way. The trading cycle is front run for an average daily profit of 4 to 7 % depending on amount of capital being used.

Look at the last five chronological shifts in market analysis techniques and strategies. Which one is still predominent in ET? Why? What is wrong with that picture?