|
PureBytes Links
Trading Reference Links
|
Among the others, at
http://welch.som.yale.edu/researchpapers//current/1006290371/paper.htm
l
we may read an analysis " that traders presently need at least 30
seconds to digest the information content of the preceding trade ",
as Liang Peng believes.
The duration of recent ^DJI turning points was ~ 15 min for
relatively medium volumes [April-May-June 2002] until their full
integration, as i wrote in some "live" mails.
Dimitris Tsokakis
See also
http://welch.som.yale.edu/researchpapers/current/byarea.html
--- In amibroker@xxxx, "dtsokakis" <TSOKAKIS@xxxx> wrote:
> --- In amibroker@xxxx, "dtsokakis" <TSOKAKIS@xxxx> wrote:
> > This discussion is one of the best in this list.
> > Let me add another point of view.
> > I work with many composite tickers and try to find out
some "rules"
> > for the whole market.
> > The main hypothesis, before this research, was the directionality
> of
> > the market.
> > For some periods every** stock follows the uptrend, no matter if
it
> > is under/over evaluated,
> > no matter if 2Q results are promissing or not. Some other periods
> > every** stock declines,
> > even if some individual perspectives are the best.
> > My results, until now, are better than expected. Mean Indicators
> > describe the market very
> > well, much better than individual ones and this is the reason
they
> > produce interesting and
> > profitable trading systems.
> > This is a real fact, the market is directional enough. I just try
> to
> > decode this directionality,
> > express it with proper indicators and create "new" trading rules,
> the
> > Trade-The-Market
> > systems.
> > If we suppose we create 100 synthetic stocks to buid up the
> synthetic
> > N100 history for, say,
> > two years, do you believe that we would establish directional
> > phenomena ?
> > I am affraid no.
> > Dimitris Tsokakis
> > **I can use this word, when I have results better than 95%
>
> This could be a start of research, if any interest exists.
>
http://welch.som.yale.edu/researchpapers/current/1008102798/paper.html
> Various interesting papers on the subject.
> As MATTHEW SPIEGEL writes,"... there exist 2^K equilibria when K
> securities trade."
> Dimitris Tsokakis
>
>
> > --- In amibroker@xxxx, "Al Venosa" <avcinci@xxxx> wrote:
> > >
|