Forecasting prices, and Mandelbrot is right.

jimrockford · Mar 18, 2006

Quote from duard:

The essence of Mandelbrot's work with regard to application in the financial markets can be summarized as "phat tails."

And I don't mean the chicks at the bar with big hooters neither.

And yes there is applicability.

duard,
Mandelbrot's models of fat tails have "applicability" to describing the distribution of sizes of price fluctuations, but they do not provide or suggest any method for profitably predicting whether price will go up or down. Mandelbrot, furthermore, has never even attempted to model chaos in prices.

jimrockford · Mar 18, 2006

Quote from mahras2:

And yet again someone accuses a poster, who has yet to post anything about selling ANYTHING , that they are a system seller.

Jump on Crowe when he actually posts about selling something.

Stephen> You will get better feedback over at NuclearPhynance than here (enjoyed your cointegration thread there btw).

mahras2,

You say that stephencrowley isn't selling anything. But he said, in a previous posting, that he isn't giving away any freebies. If you are both correct, then the only logical conclusion is that he has absolutely nothing whatsoever to offer.

stephencrowley · Mar 18, 2006

I don't care if mandelbrot says prices are unpredictable or not, I doubt he has studied super high frequency data very much. In fact, in this Article in wired he suggested that acquiring high frequency data would cost "20 million dollars"

http://www.wired.com/wired/archive/12.08/view.html?pg=2

Of course, $20 million is not enough: Even if doctoral students are cheap, proprietary data are not. But with that starting amount and wise leadership, such a commission would quickly draw contributions from others, magnifying its impact.

So, if he thinks high frequency data is this expensive it probably shows he hasn't messed with it much.

His ideas about multi-fractality, scaling and self-similiarity, fat tails, etc, is what I'm referring to when I say he is right. Prices do not follow a log-normal distribution.

And, you my friend, are a fucking idiot, I'm not selling anything, and if you offered me $100,000 grand on the spot for my software I wouldn't give it to you.

Soon as I get my trading signals built around this and get it going realtime I will definitely start a journal, and then you can come there and claim that I'm lying etc, etc, it'll make for great entertainment.

Quote from jimrockford:

Yes, I agree, except that I do not believe you are making accurate price predictions.

Sellers of worthless price prediction methods frequently make false claims that their work is somehow connected to mandelbrot, fractal geometry, or chaos theory. It is purely a bogus marketing strategy. If you would care to provide some evidence that you are not just one of these sellers, I would read with an open mind. I will, until then, based on your incorrect descriptions of mandelbrot's work, conclude that your claims are false.

stephencrowley · Mar 18, 2006

I'm offering inspirition to those who want to do so. And I also get a kick out of ruffling your feathers.

Quote from jimrockford:

mahras2,

You say that stephencrowley isn't selling anything. But he said, in a previous posting, that he isn't giving away any freebies. If you are both correct, then the only logical conclusion is that he has absolutely nothing whatsoever to offer.

stephencrowley · Mar 18, 2006

Thanks, NF is definately a great board, lots of people there are the real-deal.

Quote from mahras2:

And yet again someone accuses a poster, who has yet to post anything about selling ANYTHING , that they are a system seller.

Lets jump on Crowe when he actually posts about selling something.

Stephen> You will get better feedback over at NuclearPhynance than here (enjoyed your cointegration thread there btw).

duard · Mar 18, 2006

Quote from jimrockford:

duard,
Mandelbrot's models of fat tails have "applicability" to describing the distribution of sizes of price fluctuations, but they do not provide or suggest any method for profitably predicting whether price will go up or down. Mandelbrot, furthermore, has never even attempted to model chaos in prices.

I understand and agree. What Mandelbrot did as a scientist and mathematician was to look at financial markets and try to understand mathematically if there was a way to describe the action. Mandelbrot is not a trader nor is he an economist. My point was after careful study of much of his work as a trader that is what I found to be true.

This was my interpretation of his findings. There are still ongoing discussions about random walk and likely always will be. Many people have traded "Volatility" profitably for a long time. In fact the most profitable traders are probably the one's who do. I'm sorry if my comment was taken as Mandelbrot's as that was not the intent.

Florida's weather pattern this summer, volatility clusters in the SIF's, sunspots for that matter all cluster in a non-random but "chaotic" fashion, yes?

OddTrader · Mar 18, 2006

Quote from jimrockford:

mahras2,

You say that stephencrowley isn't selling anything. But he said, in a previous posting, that he isn't giving away any freebies. If you are both correct, then the only logical conclusion is that he has absolutely nothing whatsoever to offer.

Probaby the trading vendor market has been already too crowded.

jimrockford · Mar 18, 2006

Quote from stephencrowley:

And, you my friend, are a fucking idiot, I'm not selling anything, and if you offered me $100,000 grand on the spot for my software I wouldn't give it to you.

Soon as I get my trading signals built around this and get it going realtime I will definitely start a journal, and then you can come there and claim that I'm lying etc, etc, it'll make for great entertainment.

I never said you were a liar or a seller. I implied that such an explanation would fit the evidence you provided us, but like I said, I will keep an open mind if you can provide some further evidence.

I'm glad you are finally admitting that you haven't actually traded your method. This provides further confirmation of my assessment that you do not understand the scientific literature or the technical jargon you are using, and that you have no valid prediction method.

Quote from stephencrowley:

I'm offering inspirition to those who want to do so. And I also get a kick out of ruffling your feathers.

Sorry to disappoint you, but you did not succeed in ruffling my feathers. Your use of profanity and ad hominem personal attacks only detracts from your own credibility.

stephencrowley · Mar 18, 2006

Wtf? I never claimed to have traded my model yet. I like to fully and completely understand (to the extent that this type of thing can be understood) what I'm doing before I put money on the table.

Also, I thoroughly enjoy using profanity and my 'credibility' doesn't affect how I make money, so I really don't care.

Quote from jimrockford:

I never said you were a liar or a seller. I implied that such an explanation would fit the evidence you provided us, but like I said, I will keep an open mind if you can provide some further evidence.

I'm glad you are finally admitting that you haven't actually traded your method. This provides further confirmation of my assessment that you do not understand the scientific literature or the technical jargon you are using, and that you have no valid prediction method.

Sorry to disappoint you, but you did not succeed in ruffling my feathers. Your use of profanity and ad hominem personal attacks only detracts from your own credibility.

jimrockford · Mar 18, 2006

Quote from duard:

Florida's weather pattern this summer, volatility clusters in the SIF's, sunspots for that matter all cluster in a non-random but "chaotic" fashion, yes?

If I recall, scientists generally accept the existence of chaos in weather and in sunspots, but that chaos in the volatility clustering of price changes has never been demonstrated.

Mandelbrot has written extensively about volatility clustering in price changes, but he has never attempted to demonstrate that it is due to chaos.