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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 !!!
>
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