Do you see patterns in Random Walks?

I, Ming the Merciless, address the most brilliant mathematicians in the world. Following the example set by Pascal, Fermat, etc., I hope to gain the gratitude of the whole scientific community by placing before the finest mathematicians of our time a problem which will test their methods and the strength of their intellect. If someone communicates to me the solution of the proposed problem, I shall publicly declare him worthy of praise... There are few who are likely to solve our excellent problems, aye, fewer even among the very mathematicians who boast that they have wonderfully extended its bounds by means of the golden theorems which (they thought) were known to no one, but which in fact had long previously been published by others.

:eek: :confused: :D
 
Quote from MAESTRO:

Thank you for the link.

There are a lot of experiments these days similar to the one presented in this video that illustrate the principle of "Small World" http://en.wikipedia.org/wiki/Watts_and_Strogatz_model networks used to create many known types of behavior. Spontaneous sync and synchronized chaos are the two main models that I used for my algos. The whole conversation in this thread revolves around the simple concept: Markets are chaotic systems that use Deterministic rules to create random chaotic behavior with a very stable strange attractor http://en.wikipedia.org/wiki/Attractor#Strange_attractor . Because markets are the "Small World" http://en.wikipedia.org/wiki/Small_world_networks type of networks they sometimes produce right conditions to create spontaneous synchronization between their parts and cause "flocking" behavior. At that time by finding the path of the flock one can make extremely reliable predictions with regards to the price movements associated with the flock's movement.
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We can track the flock's center of gravity with piece-wise interpolation.
However we'd still need to know when the synchronization is taking place. How would you go to measure that?

Can we assume that prices move exclusively when spontaneous synch occurs? We'd therefore interpolate price (or mean/pivot) and a threshold on the interpolator's derivative could tell whether we are in a flocking situation or not.
 
Maestro, I have a question for you.

Assuming one can predict with significant accuracy changes in price return, how can one develop a positive expectancy system that trades price?
 
Quote from nfactorial:

We can track the flock's center of gravity with piece-wise interpolation.
However we'd still need to know when the synchronization is taking place. How would you go to measure that?

Can we assume that prices move exclusively when spontaneous synch occurs? We'd therefore interpolate price (or mean/pivot) and a threshold on the interpolator's derivative could tell whether we are in a flocking situation or not.
More...

One of the ways we can spot sync is by the relative price moves in multiple time frames. :cool: By measuring the square of price differentials multiplied by their accompanied volumes gives you a pretty good idea. Remember kinetic energy formula? m*square(v)/2?

m = volume; v = price differential in a period of time. Multi frame correlation of that kinetic energy gives a good idea of sync.

Cheers,
MAESTRO
 
Quote from nfactorial:

Maestro, I have a question for you.

Assuming one can predict with significant accuracy changes in price return, how can one develop a positive expectancy system that trades price?
More...

Read above :cool:
 
Quote from MAESTRO:

One of the ways we can spot sync is by the relative price moves in multiple time frames. :cool: By measuring the square of price differentials multiplied by their accompanied volumes gives you a pretty good idea. Remember kinetic energy formula? m*square(v)/2?

m = volume; v = price differential in a period of time. Multi frame correlation of that kinetic energy gives a good idea of sync.

Cheers,
MAESTRO
More...

I see..

I guess v could be measured by # of unique price changes?

So you'd measure kinetic energy on 5m,15m,30m,4h,1d and when all measures are above expected value (random walk deviation) it highlights price has gone too far too fast (flocking behaviour)
At that time you can play regression to the spline with positive expectancy.

Too bad I don't have clean enough data to backtest such a complex algorithm.
Damn, I really miss that fighter pilot 'stealth' software! ;)
 
Quote from nfactorial:


Damn, I really miss that fighter pilot 'stealth' software! ;)
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It has been enhanced dramatically over the past 6 months or so. Our prop groups are using it now privately. There is always a way to participate in our success though. We are a public company and the shares are available in the open market! :cool:

Cheers,
MAESTRO
 
Quote from MAESTRO:

It has been enhanced dramatically over the past 6 months or so. Our prop groups are using it now privately. There is always a way to participate in our success though. We are a public company and the shares are available in the open market! :cool:

Cheers,
MAESTRO
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:D

Off topic,
Why would a company prop trade except for scalability issues?
 
Quote from nfactorial:

:D

Off topic,
Why would a company prop trade except for scalability issues?
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It's the only efficient way of exploiting grey boxes. As you know, RTN-Stealth is a grey box, not a black box; therefore you need some operators. However, in order to spread the risk you need to diversify; meaning, you need different operators, thus the only rational solution is prop groups. Not the large groups though. All together not more than 30 people in 3 prop groups. That is enough to manage quite large pile of capital.
 
For those interested, "Dr." Bogdan's company trades under the symbol QAT on the CNSX, a Canadian penny stock exchange of dubious anticedents. Trading around 15 cents a share lately.

I guess the market is not that impressed with the heads-up display or the 30-monitor workstations.

FWIW, I have not been able to verify Dr. Bogdan's PhD. Nor can I find any publications in peer-reviewed journals under his name.
 
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