Power Law and Fibonacci from Sornette and Bouchaud

Quote from Thunderdog:

Physics is a pure science - a hard science. The study of markets is a soft "science" - a social "science." Stand back for a moment and have a look at the bigger picture. How, exactly, do you propose to predict human behavior with physics, of all things? In my (perhaps narrow) view, your reach is far extending your grasp here. Although I did not do well in physics at school, I don't think that any amount of physics equations or theory is going to convert this apple into an orange. On the other hand, it may be great material for an SNL sketch featuring Mr. Spock.
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Physics is actually a very weird and wacky science. You might pick up a copy of "The Elegant Universe" if you are not convinced.

But you are right - physics and trading are two completely separate disciplines, although you might find that ideas in one could lead to inspiration in another.
 
Quote from TheStudent:

Nitro and Caltrader,

Thanks for extending the arguments on compression.

I think the concept of signal to noise (S/N) is critical to the success of many strategies - esp. in detecting regime changes in the S/N ratio in the mkt. A crude way of approximating this is volatility - low vol environments favour trend followers, high vol environments will shake out the weak hands in the trend following community. S/N also affects other strategies.

What sort of resources would you point to for a novice in these areas?
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Many people will disagree with me but my opinion is that for typical traders - people trading average account sizes - you should use very simple trading models.

Simply watching volume and price, and your measure of volatility within these, combined with a couple of moving averages - and/or other measures of trend - is really all you need.

Just basic TA principles .....
 
Quote from CalTrader:

Many people will disagree with me but my opinion is that for typical traders - people trading average account sizes - you should use very simple trading models.

Simply watching volume and price, and your measure of volatility within these, combined with a couple of moving averages - and/or other measures of trend - is really all you need.

Just basic TA principles .....
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CalTrader,

you are right of course - I am looking at 50,000ft issues that have little impact on day to day trading.

It is only when you manage an army of people and capital that they start to really matter.

Any pointers on papers would still be appreciate though.
 
Quote from nitro:

That is an old test. For example, some people have taken data at different time frames and used different compression schemes and see what the compression ratio was. You can then plot a graph of time vs compression and see some interesting results.

I talked about this almost three years ago, and I learned of it almost ten years ago:

http://www.elitetrader.com/vb/showthread.php?s=&postid=163484&highlight=compression#post163484

nitro
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link

http://www.nature.com/nsu/020923/020923-18.html
 
Thunderdog wrote:

> Physics is a pure science - a hard science. The study of markets
> is a soft "science" - a social "science."

A lot of econophysics (e.g. quantum theory or chaos theory
applied to markets) seems like quackery to me. Probably
is.

But quants (mathematicians) doing market modeling are not
doing anything less than subsuming technical analysis anyway:

http://www.ballarat.edu.au/ard/itms/CIAO/seekingARCpartners.pdf

thus showing that there is essentially no difference between
quants and TAs (or even fundamentalists, in the form of
rule-based systems). They are just more formal.
 
Quote from mujotrader:

Thunderdog wrote:

> Physics is a pure science - a hard science. The study of markets
> is a soft "science" - a social "science."

A lot of econophysics (e.g. quantum theory or chaos theory
applied to markets) seems like quackery to me. Probably
is.

But quants (mathematicians) doing market modeling are not
doing anything less than subsuming technical analysis anyway:

http://www.ballarat.edu.au/ard/itms/CIAO/seekingARCpartners.pdf

thus showing that there is essentially no difference between
quants and TAs (or even fundamentalists, in the form of
rule-based systems). They are just more formal.
More...

Exactly. There are a few ideas from the realm of Dynamical Systems theory and related areas that are useful but very few of these concepts can be applied directly to day to day trading - although there are many, many people running billions that would try to sell you otherwise ....
 
We are not talking about general (and fuzzy) quant models but about the Fib presence - about which many quants and others doubt. Also quants models are essential directly towards arbitrage which is very local in space and time and not really targeting prediction in large space and time.

Quote from mujotrader:

Thunderdog wrote:

> Physics is a pure science - a hard science. The study of markets
> is a soft "science" - a social "science."

A lot of econophysics (e.g. quantum theory or chaos theory
applied to markets) seems like quackery to me. Probably
is.

But quants (mathematicians) doing market modeling are not
doing anything less than subsuming technical analysis anyway:

http://www.ballarat.edu.au/ard/itms/CIAO/seekingARCpartners.pdf

thus showing that there is essentially no difference between
quants and TAs (or even fundamentalists, in the form of
rule-based systems). They are just more formal.
More...
 
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