Mandelbrot fractals, mathematics of chaos etc....Interesting....pretty pictures
Mandelbrot fractals, mathematics of chaos etc....Interesting....pretty pictures
DR Jeff Eiseman will talk to you endlessly on Fractals.
You'll find him on Reefcap.
Haven't seen Jeff posting much these days Tech, a shame, cause he is a gentleman.
There is a chap i know on Mirc who has built a system based on chaos theory, including "strange attractors" and the whole bowl of wax....daytrades the futures with it, and it is NOTHING like Bill Williams version of chaos. (which is really just a trend following system...not that there's anything wrong with that ) This guy trades counter trend!
He posts his entries and exits live...and does bloody well.
Haven't quite got it figured yet myself.
Yes met Jeff-----Great company.
Seems to be more lo key and dis-illusioned with some aspects of trading.
Still trading futures though I believe.
On Chaos---you'd think there would be more experts in this field with the disjointed trading methodologies of the masses!
Personally I like to lose in an organised manner! hahaha
If you are interested in Chaos Theory, then you would also be interested in Complexity. A book worth reading is M. Mitchell Waldrop 1992. COMPLEXITY: THE EMERGING SCIENCE AT THE EDGE OF ORDER AND CHAOS. Penguin. London.
Likewise, James Gleick wrote a book entitled CHAOS, regarded as a classic in this area.
I wrote two monographs, available in most university libraries, State Library NSW and the National Library.
"Managing The Entropic Organisation".
"Managing From The Edge, Working From The Centre: Organisations, Complexity And The search For Morning".
I find the work by Prof. Paul Davies to be interesting and likewise Prof. Stephen Hawking (though he's a bit heavy to read through at times).
Tech, Economist / Mathematicians like Brian Arthur, Kenneth Arrow (Nobel Laureate for Economics) and others did do computer experiementations on Stock Market Trading Systems. They discovered that the market has a lot of self - fulfilling prohpecies. For example, I believe that stock XYZ Ltd is likely to be at or should be at $34 and it is $30, then I buy. So do all the other traders who have the same belief (for what might be the flimsiest of reasons)! Obviously before long it goes to $34 given rise to speculation that it could go higher. Again, if enough people think it and talk about it, it will. At some point, they wake up one morning and decide it's over valued and start profit taking. This of course drives the prophecy that if I don't get out know it will fall and I lose! If enough do this of course, very soon the price is at $24 and the cycle repeats itself. Their program was able to mimick such behaviour and this predicted bubles and crashes in the market. I don't know what ever happened to it!
How is the coastline of Britain
the same as the Fluctuations of prices as seen on a Point and figure chart ?
How is this related to the Hurst Exponent
and fractal dimension ?
IE: what is the Dimension of the fluctuations and how does it vary ?
How are the fluctuations of stock prices
different from a chart of the fluctuations of a fair coin toss ?
( Graph one and see )
How does roughness and smoothness relate to market phases
What is the basic fractalFractal sets show self similarity with respect to space. Fractal time series
have statistical self similarity with respect to time
that is a building block of all
approaches to market analysis ?
Anyone who has read some of the Chaos Fractal literature
Should have some insight ?
Esp if they have read some of the tape reading literature
The space between two points on a price chart
is "fractal" in the same way as the space between two points of a coastline.
Not just the markets! Our lives are also largely self - fulfilling prohpecies.
Are 'pythagorean' numbers fully representitive though?If you truly comprehend number and geometry you will have the key to all human Wisdom. (The Significance of Number and Geometry)
Que Sera, Sera (Whatever Will Be Will Be)
J.P Morgan, when asked what the stock market will do, replied,
It will fluctuate.
And neither do Stock PricesClouds are not spheres, mountains are not cones, coastlines are not circles, and bark is not smooth, nor does lightning travel in a straight line."
Benoit B. Mandelbrot
But how do they "fluctuate"
Benoit ? or is this a quote from a tape reader from the 1890'sA study of fluctuations ,the records of the ups and downs, furnishes the key to an understanding of this whole business
or both !
Do you think thesequestion from the tape reader from the 1890'sfluctuations are a matter of chance ?
Answer from Benoitwhen investigating economics (I) first discovered that seemingly random market price fluctuations follow a hidden mathematical order
Maybe he likes the old books too
Do they mean the same thing ?
A different vocabulary and terminology
one's emphasis is on describing the what
The others focus is on what to do..
But Yes I think they are saying very much the same thing..
sand piles built high into the air
Stability does build instability
It only takes one grain to cause an avalanche
( leverage makes a fine cement to build oversize sand piles )
But once a sand pile collapses
It takes energy and work to build another
But it takes many grainsA big avalanche doesn't need a big cause; one grain can trigger a sand pile-flattening event.
to build one !
A study of fluctuations ,the records of the ups and downs, furnishes the key to an understanding of this whole business
anonymous tape reader and figure chart practitioner 1898befores are not the same as afters- motorway
"Investors should recognize the market as a complex adaptive
system. Complex means there are lots of investors within the system. Adaptive means investors
change their decision rules in response to market conditions. And system means the whole is
greater than the sum of the parts—prices emerge from the interaction of the investors within it.
Complex adaptive systems are everywhere in natural and social systems.
The "wisdom of crowds" is a colloquial way of describing the market as a complex system. The
work on wisdom of crowds shows that when certain conditions are met—diversity, aggregation,
and incentives—markets tend to be efficient. Conversely, when one or more of those conditions
are violated, markets can and do become inefficient (i.e., price is no longer an unbiased reflection
For a host of social psychological and sociological reasons, diversity is the most likely condition to
what’s essential to recognize is the relationship between diversity breakdowns and asset price
performance is nonlinear. Diversity can be on the decline as the asset price rises, which makes
the market fragile. Like a rubber band that’s stretched, the tension builds and the inevitable
snapback is often painful.
Considering the market as a complex adaptive system allows us to understand the mechanism by
which prices are set. While many questions remain unanswered, we can look to three
conditions for guidance for how well the market is functioning. Further, we can see why most
large market moves are internal to the system (endogenous) versus external factors imposed on
the market (exogenous).
Our estimate is 80 percent of the market’s largest moves in the past 60
years are attributable to endogenous activity."
London Bridge Is Swaying ‘Round
On June 10, 2000, the Millennium Bridge opened to the public with great fanfare.
London’s first bridge across the Thames in over a century, it had a sleek design—the architect wanted it to look
like a “blade of light.” 9 However, when thousands of people stepped on the bridge that day, it
started to sway from side to side so much that people had to stop or hold on to the rails.
for the public’s safety, officials closed the bridge two days later and, following a retrofitting, it
reopened in February 2002.
What led to this high-profile failure? People exert a small amount of lateral excitation when they
walk. Normally, these excitations cancel out when a group crosses a bridge. However, the
Millennium Bridge initially had insufficient lateral dampeners, which allowed a little swaying when
a sufficient number of people were on the bridge.
That swaying forced people to change their gait
by widening their steps, leading to greater lateral excitation and more swaying. The wobbling and
crowd synchrony emerged simultaneously.
The crucial insight is the existence of a critical point. Simulations show that roughly 165 people
can walk on the bridge with little impact on the wobble amplitude.
But adding just a
few more pedestrians causes the amplitude to change dramatically, especially as the feedback
between gait adjustment and wobble amplitude kicks in . For the
first 165 bridge crossers, there’s little wobble and no sense of any potential hazard even though
the bridge is on the cusp of a state change.What does Synchrony bring about ?You can imagine testing the bridge with 50, 100, or even 150 people. The harmful wobble lies in
the wait, outside of your awareness.
The large-scale outcome is due to the internal workings of
the system—people walking—not from some external shock.
Tops and Bottoms
What characteristic makes Tops dangerous ?
What characteristic makes Bottoms Safe ?
The hint of the answer is found on the millennium bridge..
And with our 19th century Tape readers.
And the above discourse from---Michael J. Mauboussin
Tops and Bottomsdiversity breakdowns
and then the question of scale,
And where is diversity greatest ?Diversity declines steadily, even as the asset price rises.
As the asset reaches a short-term price peak, diversity is at its lowest. This is an example of
invisible vulnerability, similar to what we saw with the bridge.
At the ( real ) bottoms
In the Tape readers language
The BASE.... A Foundation is built from diversity or where the diversity arises.
Where the work is done...
This not the same as "on the way down"
Bubbles and Anti Bubbles