Kudos to MMs

Note that the model is predicting correctly, but out of phase. It appears to lead the market in phase by about 45 degrees. To get the market cycle, a Hilbert transform is often used:

http://books.google.com/books?id=_K...Q6AEwBA#v=onepage&q=john ehlers phase&f=false

The thing is, I don't understand (although I have a strong suspicion) why the phase lag is there, and how it changes dynamically. It doesn't matter though, as long as we are able to predict it even somewhat accurately, we can use options as the trading vehicle to time the market (to insulate us further from phase errors while minimizing theta). This is the last piece of the puzzle in practice to trade the model. As to the theory, I still have considerable amount of work.
 
Quote from nitro:

Imo all six reactors will eventually catch fire and melt core. The entire area for about 100 miles will be uninhabitable for decades if not hundreds of years. In terms of land loss alone, it is probably in the trillions of dollars.
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How are you feeling about your prediction now?
 
Quote from GTS:

How are you feeling about your prediction now?
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I don't know. I am still confused about the situation. But if I am wrong, I would be happiest.
 
Quote from nitro:

Note that the model is predicting correctly, but out of phase. It appears to lead the market in phase by about 45 degrees. To get the market cycle, a Hilbert transform is often used:

http://books.google.com/books?id=_K...Q6AEwBA#v=onepage&q=john ehlers phase&f=false

The thing is, I don't understand (although I have a strong suspicion) why the phase lag is there, and how it changes dynamically. It doesn't matter though, as long as we are able to predict it even somewhat accurately, we can use options as the trading vehicle to time the market (to insulate us further from phase errors while minimizing theta). This is the last piece of the puzzle in practice to trade the model. As to the theory, I still have considerable amount of work.
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I wonder if there is a relationship between the phase lag, and the delta of the optimal option(s) along the skew to use? Interesting idea, but probably a ratio'd risk reversal (.25/.75) is sufficient...
 
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