Kinematics, Calculus, and other higher maths

[99atlantic]

Quote from ProfLogic:

Absolutely correct!

Yea, too bad it's always live and learn, hehe

I cann't begin to count the countless hours I wasted studying 100pg PhD. dissertations about applying mathematics to modelling standard markets (not option pricing, but like predicating futures or stock actions)........I read them and re-read them hundreds of times trying to understand the underlying points thinking that these people in their ivory towers must have some secrest of the market to write that much and in such mathematical detail. They had to know how to predict the market! (esp. since the papers were titled stuff like Predicting stock market action for pure profit, heh)


Then I actually got into the market as a futures analyst and at a later date re-read some of the papers I'd saved and was like 'WTF is this drivel??' They make so many faulty assumptions and propose ludicrous theories that may sound good on paper but have no relation to actual market activity and behavior; then I realized there's a reason they're in their fancy ivory towers TALKING about the markets and I'm in the markets WORKING them and making $$$ for the firm.


Stuff liek applications of calculus to market modelling or neural network design and artificial intelligence is cool and whatnot, but really, when you get down to it, it's a big waste of time. Give me a standard channel breakout or moving average and I can, with proper design and thought, walk circles around the person who spends the next 10yrs developign their 'hardcore' prediction methods and ends up falling flat on their face, heh

 

[dont]

Yeah

I spent a lot of time on NN and on chaos theory, all worthless, much better to trade small and learn from the market.

 

[ProfLogic]

Quote from 99atlantic:

Yea, too bad it's always live and learn, hehe

I cann't begin to count the countless hours I wasted studying 100pg PhD. dissertations about applying mathematics to modelling standard markets (not option pricing, but like predicating futures or stock actions)........I read them and re-read them hundreds of times trying to understand the underlying points thinking that these people in their ivory towers must have some secrest of the market to write that much and in such mathematical detail. They had to know how to predict the market! (esp. since the papers were titled stuff like Predicting stock market action for pure profit, heh)


Then I actually got into the market as a futures analyst and at a later date re-read some of the papers I'd saved and was like 'WTF is this drivel??' They make so many faulty assumptions and propose ludicrous theories that may sound good on paper but have no relation to actual market activity and behavior; then I realized there's a reason they're in their fancy ivory towers TALKING about the markets and I'm in the markets WORKING them and making $$$ for the firm.


Stuff liek applications of calculus to market modelling or neural network design and artificial intelligence is cool and whatnot, but really, when you get down to it, it's a big waste of time. Give me a standard channel breakout or moving average and I can, with proper design and thought, walk circles around the person who spends the next 10yrs developign their 'hardcore' prediction methods and ends up falling flat on their face, heh

Wonderful post!

Don't say this too often here on ET though, the will hang you out to dry. They worship those idiots in the ivory towers in these forums.

 

[99atlantic]

Quote from ProfLogic:

Wonderful post!

Don't say this too often here on ET though, the will hang you out to dry. They worship those idiots in the ivory towers in these forums.

Haha, so true.

I'm actually quite suprised at some of the attitudes of people in this forum, so much so at times that I almost begin to question myself just because it's human nature to try to follow the herd mentality.....but then I remind myself that I've worked at a manged futures firm, wealth mgmt firm and now run my own private hedge fund, and that 98% of the herd out there gets slaughtered in the markets, so I must be doing okay ^_^

 

[toc]

Can't say much for either side. One major fact of the real world is big money houses like banks trading currencies, hedge funds etc. like to see traders with advanced math backgrounds and some even like physics phd. etc.

However, bigger fact is you give a winner system to 10 different traders in a room and end of the day/month/year, you will have 10 different trading results. Trading is more mental game and very very different than developing a trading system. Most of the trading system developers cannot make money from their own system otherwise they would not be selling them.

 

[Walther]

Quote from 99atlantic:

Yea, too bad it's always live and learn, hehe

I cann't begin to count the countless hours I wasted studying 100pg PhD. dissertations about applying mathematics to modelling standard markets (not option pricing, but like predicating futures or stock actions)........I read them and re-read them hundreds of times trying to understand the underlying points thinking that these people in their ivory towers must have some secrest of the market to write that much and in such mathematical detail. They had to know how to predict the market! (esp. since the papers were titled stuff like Predicting stock market action for pure profit, heh)


B]

You were reading wrong stuff ! Simple dynamics and simple calculation is enough to predict reversals. You do not need to know if it is top or bottom at the time of the prediction, you will see what is it when predicted time arrives . Just for fun, take a look at QQQQ on Tuesday 5-29 at 9:50 est.

 

[nbates]

Quote from Walther:
You were reading wrong stuff! Simple dynamics and simple calculation is enough to predict...

Whew - glad to know it's Simple to predict future price movement and direction. Now, I'm armed and off to build my own algorithmic trading $y$tem!

 

[bali_survivor]

Quote from pound_sterling:

I found that particularly comical. Thank you, you made my day!

Thanks to all who have responded up unto this point, your experience is invaluable.

I can definately see the merit of statistical analysis of various components of a traders function. From win/loss to trade entry it definately warrants further investigation. With that said how helpful have you found your statistical analysis of volume/price? Have you further applied statistical analysis to its win/loss ratio (so to speak)?

In regards to "mechanics", i refer to kinematics, i disagree regarding the problem with constants, i am not referring to complex equations; but rather the "simple" equations relating to velocity and acceleration. Just looking at a chart one should see the correlation between the two. The problem i am currently investigating is the proper application of these formulas to the market. I'm certain someone else must have endeavoured to apply the wisdom of the physical sciences to price action.


Lastly, in regards to calculus, the point made by Horribillicus hits upon my ambition. To identify a formula or derivative of various variables (and corresonding functions) related to trading to help build and identify trading opportunities. I am not merely looking for a holy grail but rather more intelligent tools to apply to my trading career.


To say that a mathematical investigation of the markets is futile is to state that trading it itself is futile. Regardless of your trading style you invoke mathematics at some point or another (you may be using derivatives and not even know it). So with that said, i hope this conversation continues as there's a lot of very intelligent people in this forum with a variety of expertise.

this is a path that is well worn before you even started to think about it. Big funds etc hired "quants" and other statistical / math experts of the higest orders.

As the say the proof is in the pudding. How many of these funds are doing extraordinary? Was there not a funds last year that shut their whole TA department down?

The good old momentum, their derivates ergodic and MACD seem to work for a number of people.

Don't try to re-invent the wheel when it is already there.

Maria

 

[99atlantic]

Quote from Walther:

You were reading wrong stuff ! Simple dynamics and simple calculation is enough to predict reversals. You do not need to know if it is top or bottom at the time of the prediction, you will see what is it when predicted time arrives . Just for fun, take a look at QQQQ on Tuesday 5-29 at 9:50 est.

Sorry, not buying it, especially since it violates rule #1: Though shalt not predict the market, only respond to it

Anyways, you keep on using it to predict the market; i'll use my math dbackground to keep writting stuff like monte carlo simulators so I can use it to analze the results and make decisions on my T&A

 

[nbates]

Quote from 99atlantic:
Rule #1: Though shalt not predict the market, only respond to it

AKA : Follow the trend? <= I LIKE IT!