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Richard,
If an abstract is interesting, you may contact the author directly.
You may also invite him [her] to give some parts in Amibroker group
since the level of our group is quite advanced now.
Day by day Amibroker is known to more people and this is, sometimes,
a good opportunity.
[It is always interesting to extend our horizon, instead of repeating
the same and the same again...]
Thank you for your continuous interest for this list.
Dimitris
--- In amibroker@xxxx, "Richard Alford" <richard.alford@xxxx> wrote:
> 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
> ----- Original Message -----
> From: dtsokakis
> To: amibroker@xxxx
> Sent: Saturday, June 22, 2002 6:13 AM
> Subject: [amibroker] Re: Trends, random series
>
>
> 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:
> > > >
>
>
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