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Re: Trends, random series



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Trading Reference Links

For a collection of downladable articles in *.pdf format, you may see 
at
http://ideas.uqam.ca/ideas/data/Articles/aeaaecrevv:71:y:1981:i:3:p:42
1-36.html
and related topics as 
http://ideas.uqam.ca/ideas/data/JEL/G.html, where G stands for
financials.
DT
-- 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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