Re: E Waves etc

["Walter Lake" <wlake@xxxxxxxxx>]

Hi Jeff

Thanks for Ingber's site, it looks very promising.

The BF List is at
http://www.egroups.com/group/Behavioral-Finance

Your strong background will obviously take precedent to my none existent
background. I'll be interested to know how your coin toss experiment went
and whether a "red, white and blue" indicator develops <G>.

Best regards

Walter

----- Original Message -----
From: "Jeff Haferman" <haferman@xxxxxxxxxxxxx>
To: <metastock@xxxxxxxxxxxxx>
Cc: <wlake@xxxxxxxxx>
Sent: Friday, July 21, 2000 5:21 PM
Subject: Re: E Waves etc


| Walter,
|
| Thanks for some nice references over the last couple of weeks.
| This is a very interesting paper... I find their claim
| counterintuitive, but I'll code up a coin toss program and
| see for myself I suppose.
|
| Since you have are into mathematical modeling, take a look
| at Lester Ingber's "Canonical Momentum Indicators" (CMI)
| try http://www.ingber.com (then click on "MARKETS")
|
| I have a very strong mathematical background, but Lester's
| stuff is generally over my head.  Maybe you can make sense
| of it.  I know CMI has worked very well for him in both
| options and futures trading.  From what little I understand of
| it, there is no reason it could not be applied to any market.
| If you can understand it, maybe you can enlighten the rest of us.
|
| By the way, what is the BF list?
|
| Jeff
|
| In metastock, Walter Lake (wlake@xxxxxxxxx) wrote:
| >Thanks for your emails
| >
| >This appeared a while back on the BF list. It will probably be of
interest
| >in developing your trading system to take advantage of it..
| >
| >Watch out for those "xxx" sites <G>
| >
| >Best regards
| >
| >Walter
| >
| >> Let me report some recent discussions at yats@xxxxxxxxxxx
| >> Alex Plank mentioned a very interesting article from Sornette
| >> (http://xxx.lpthe.jussieu.fr/abs/cond-mat/0001324)
| >>
| >> "We present a simple and general result that the sign of the
| >variations or
| >> increments of uncorrelated times series are predictable with a
| >remarkably
| >> high success probability of 75% for symmetric sign distributions.
| >The origin
| >> of this paradoxical result is explained in details. We also present
| >some
| >> tests on synthetic, financial and global temperature time series. "
| >>
| >> We had some difficulties in understanding the trick, and some have
| >built
| >> successful trading model form this ;-)
| >>
| >> In subsatnce this article told us that the price return are
| >oscillating
| >> around its mean. If the yesterday return is heigher than its mean
| >we can
| >> predit that today return will be lower than yesterday return, and
| >vice
| >> versa, with a 75% success rate.
| >>
| >> I suspect that many chartist patterns are victims of this,
| >including Elliott
| >> Wave, Fibonacci, and generaly speaking, all pull-back based
| >patterns,
| >>
| >> Some kind of optical illusions that provide any edge, since the
| >basis of
| >> those patterns is market efficiency !!!
| >>
| >
| >
|