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Thanks, Dimitris, for the links to the Yale
papers. Too bad only the abastracts are available on the most
recent. There are a couple of interesting papers examining Momemtun
vs. Contrarian with the papers available.
Cordially,
Richard
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----- Original Message -----
<DIV
>From:
dtsokakis
To: <A title=amibroker@xxxxxxxxxx
href="">amibroker@xxxxxxxxxxxxxxx
Sent: Saturday, June 22, 2002 6:13
AM
Subject: [amibroker] Re: Trends, random
series
Among the others, at<A
href="">http://welch.som.yale.edu/researchpapers//current/1006290371/paper.htmlwe
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
TsokakisSee also<A
href="">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 tofind
out some "rules" > > for the whole market.> > Themain
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 betterthan
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.> <A
href="">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:> >
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