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Title: Message
I
didnot expect any reply, nor I cannot find any question of yours to
reply.
I
didnot mean to offend you being less academic. we don't do such things : ) I
just wanted to say that the terminology you are referring to, at your level,
would not serve your purpose. "coupled with some tricks" if you
can do any useful "trick" with GARCH model, for example such as making it an
EGARCH model [Roll(1984)], you would already take place in the literature like
Hasbrouck(1995), Gonzalo, Granger(1995). And I suppose latest "useful" twitch to
GARCH was by Chordia, Roll, Subrahmanyam (2002), I visited the last author
3 months ago, he is teaching at UCLA Andersen school of business. So it is not
an easy job to do "tricks" with these models. Or simply, name
any papers of yours published in an academic journal, I will study and do my
best to well criticisize that then.
As you
list your credentials, I would just give some statistics about my
program. I am working on average 100hours/week in the office and read
about 1000pages/week, includes about 8 papers/week, and didnt leave my office
for the last 30 hours. Believe me you are not academic, I wonder if you
have any idea about the academia, but definitely you sound academic to an
average person, which the average person can easily compensate reading 3-5 stats
books. but personally I wouldnt invest on that...
Let me
not talk about skewness and kurtosis, those were in stats 101 I suppose :
) I never mention that I am better than anyone, that would be
embarrassing considering the great guys in the business. And I kindly advice you
that, as well, not do it. It would be much better if you ever don't use the word
"academic" in your talk.
the
thing about the website design and content is that, it is just not align with
the image you are creating here. Jose's point in imagining a team of engineers
more sounds like the image you draw to us. if you gonna invest in this, you
better redesign your web site at least. it doesnt look like a corporate
structure or ... Asset Management. buddy. No way...
your
enemies would flatter you, while your friends would give you a bleeding
nose..
good
luck..
I'll give your message to the people
responsible for the web design,
but I must say I don't understand this
message? Must I not reply to
messages unless I have a PhD plus
more? How many people would then
be able to participate here? I
think, sans PhD, that I helped a guy
who, according to him, spent a lot of
time on this and could not code
it. So I coded it, explained it,
posted it, and am sure I, sans PhD,
helped him quite a bit.
Some
people here say I am too academic, you think I am not
academic
enough? Please, if anything I said related to skewness or
kurtosis
is wrong, let me hear about it, and, really, it does not have much
to
do with the company's website. Funny thing, we've been using
these
formulas, together with some other stuff, for years, based on
some
very academic papers by some of the most academic of people
out
there.....coupled with some tricks we had to figure out to
actually
implement it..... Anyhow, I really look forward to your
reply.
Regards
MG Ferreira
TsaTsa EOD Programmer and trading
model builder
http://tsatsaeod.ferra4models.com
http://www.ferra4models.com
---
In equismetastock@xxxxxxxxxxxxxxx, "KUREKCI" <kurekci@xxxx>
wrote:
> dear ferreira,
> I have just checked your website. even
your website design does not
support
> the expectation you create in
your messages...
>
> I must say I am a little disappointed.
the statistical jargon you
have been
> using attracted my attention,
and I can see that you are trying hard
to use
> your statistical
knowledge in trading but I am sorry that as far as
I can
> notice the
depth of knowledge you are referring to when making your
> inferences is
not deep enough support the reasoning.
>
> though, I still
think making research and using statistics is very
> interesting and
maybe useful in technical analysis framework. and
improve
> the
frontiers of the market. but what you are doing isnot an
extensive
use
> of statistics. it would require post PhD level study to well
implement
> statistical knowledge in technical analysis. otherwise it
would
result in
> total loss, if not a number of poor designs which
not worth the
investment
> of effort.
>
> I
understand that you have studied statistics more than an
average
person
> but still if you spend some more time in the
academia you would
understand
> that there is inconsistency between
the tools you are using and
results you
> expect.
>
> I will not take more time of anybody and end with a passage that I
like,
> simply from karate kid: if you don't know karate then your
walking
on the
> right side of the road, if you know karate you are
walking on the
left side
> of the road, but if you know the karate
so-so then you are walking
right in
> the middle of the traffic. it
is dangerous...
>
> regards,
>
>
>
>
> -----Original Message-----
> From: MG
Ferreira [mailto:quant@xxxx]
> Sent: Friday, March 04, 2005 10:08
AM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock
Group] Skewness or biasedness and kurtosis
>
>
>
>
Herewith code for the skewness and kurtosis of a series (somebody
>
requested this, so don't jump to conclusions - specifically, don't
>
test this as a trading model - caveat emptor - This is often useful
>
when trading options and we used these things to devise option
>
strategies, such as building indicators that tell you if you should
> be
buying/writing puts or calls, in or out the money etc - but -
> don't be
mislead by this statement as these are the basic building
> blocks of
such a system, not the system itself - and given upon
>
request...)
>
> It is a bit troublesome to do this in Metastock
due to the way in
> which its time series processor works. You
have to manually add up
> the history to get the exact version, but you
can easily build a
> good approximation. The exact version quickly
causes Metastock to
> give an error message, and we limit it to 20 days,
which really is
> too little for this indicator. We also give an
approximate version
> which is very easy to code and use, and here you
can go much higher
> than the 20 day limit of the exact system.
The exact system also
> shows how you can use boolean algebra in stead
of lots of if
> statements. Typically you should have a highish
value for these,
> say 50 and above.
>
> OK, so there are
four formulas in total, exact and approximate ones
> for the skewness or
bias and the kurtosis. Note that we calculate,
> as you should,
these figures in the return series, not the series
> itself.
>
> How do you interpret these? Just a brief summary.
>
> Skewness: If this is positive, then the market has a positive
>
news impact curve. Up movements are generally higher than down
>
movements. If this value is negative, then vice versa. Here
is
> an example of movements in a positive skew market:
>
>
+2 -1 +5 -3 +3 -1 +3 -1 +2
>
> Note that, if the market rises, it
generally rises more than if it
> falls.
>
> Kurtosis: If
this value is positive, it means the returns are
> leptokurtic. A
negative value indicates a platykurtic distribution.
> Leptokurtic
technically means there are more outliers than in a normal
>
distribution, in practise it is indicative of a risky market.
The
> higher this value, the more risky the market is, with 0 sort
of
> meaning it is a normal market. A low value means that you
have a
> low risk market. Here is an example of a leptokurtic
market:
>
> +1 -1 +1 -1 +10 -1 +1 -1 +12 -2 +1 -1 +2 -1
>
> Note that the market's return is quite concentrated around zero
but
> every now and again you have a HUGE outlier - this is
leptokurtosis.
>
> Code follows below, note it is in four
sections.
>
> Regards
> MG Ferreira
> TsaTsa EOD
Programmer and trading model builder
> http://tsatsaeod.ferra4models.com
>
http://www.ferra4models.com
>
>
----------8<-----------------------------------------------------
>
{Bias Exact Metastock code
> -------------------------
> MG
Ferreira
> http://www.ferra4models.com
> For
personal use only}
>
> xx := INDICATOR;
> ll := Input("Bias
length:",1,20,20);
> yy := ROC(xx,1,%);
> mm :=
Mov(yy,ll,S);
> ss :=
Power(yy-mm,3)+
>
Power((Ref(yy,-1)-mm)*(ll>1),3)+
>
Power((Ref(yy,-2)-mm)*(ll>2),3)+
>
Power((Ref(yy,-3)-mm)*(ll>3),3)+
>
Power((Ref(yy,-4)-mm)*(ll>4),3)+
>
Power((Ref(yy,-5)-mm)*(ll>5),3)+
>
Power((Ref(yy,-6)-mm)*(ll>6),3)+
>
Power((Ref(yy,-7)-mm)*(ll>7),3)+
>
Power((Ref(yy,-8)-mm)*(ll>8),3)+
>
Power((Ref(yy,-9)-mm)*(ll>9),3)+
>
Power((Ref(yy,-10)-mm)*(ll>10),3)+
>
Power((Ref(yy,-11)-mm)*(ll>11),3)+
>
Power((Ref(yy,-12)-mm)*(ll>12),3)+
>
Power((Ref(yy,-13)-mm)*(ll>13),3)+
>
Power((Ref(yy,-14)-mm)*(ll>14),3)+
>
Power((Ref(yy,-15)-mm)*(ll>15),3)+
>
Power((Ref(yy,-16)-mm)*(ll>16),3)+
>
Power((Ref(yy,-17)-mm)*(ll>17),3)+
>
Power((Ref(yy,-18)-mm)*(ll>18),3)+
>
Power((Ref(yy,-19)-mm)*(ll>19),3);
>
ll*ss/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),3)*(ll-1)*(ll-2))
>
----------8<-----------------------------------------------------
>
{Bias Approx Metastock code
> --------------------------
> MG
Ferreira
> http://www.ferra4models.com
> For
personal use only}
>
> xx := INDICATOR;
> ll := Input("Bias
length:",1,9999,50);
> yy := ROC(xx,1,%);
> mm :=
Mov(yy,ll,S);
> dd :=
yy-mm;
>
ll*Sum(Power(dd,3),ll)/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),3)*(ll-1)*(ll-2))
>
----------8<-----------------------------------------------------
>
{Kurtosis Exact Metastock code
> -----------------------------
>
MG Ferreira
> http://www.ferra4models.com
> For
personal use only}
>
> xx := INDICATOR;
> ll :=
Input("Kurtosis length:",1,20,20);
> yy := ROC(xx,1,%);
> mm :=
Mov(yy,ll,S);
> ss :=
Power(yy-mm,4)+
>
Power((Ref(yy,-1)-mm)*(ll>1),4)+
>
Power((Ref(yy,-2)-mm)*(ll>2),4)+
>
Power((Ref(yy,-3)-mm)*(ll>3),4)+
>
Power((Ref(yy,-4)-mm)*(ll>4),4)+
>
Power((Ref(yy,-5)-mm)*(ll>5),4)+
>
Power((Ref(yy,-6)-mm)*(ll>6),4)+
>
Power((Ref(yy,-7)-mm)*(ll>7),4)+
>
Power((Ref(yy,-8)-mm)*(ll>8),4)+
>
Power((Ref(yy,-9)-mm)*(ll>9),4)+
>
Power((Ref(yy,-10)-mm)*(ll>10),4)+
>
Power((Ref(yy,-11)-mm)*(ll>11),4)+
>
Power((Ref(yy,-12)-mm)*(ll>12),4)+
>
Power((Ref(yy,-13)-mm)*(ll>13),4)+
>
Power((Ref(yy,-14)-mm)*(ll>14),4)+
>
Power((Ref(yy,-15)-mm)*(ll>15),4)+
>
Power((Ref(yy,-16)-mm)*(ll>16),4)+
>
Power((Ref(yy,-17)-mm)*(ll>17),4)+
>
Power((Ref(yy,-18)-mm)*(ll>18),4)+
>
Power((Ref(yy,-19)-mm)*(ll>19),4);
>
ll*(ll+1)*ss/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),4)*(ll-1)*(ll-2)*(ll-3))-3*
>
(ll-1)*(ll-1)/((ll-2)*(ll-3))
>
----------8<-----------------------------------------------------
>
{Kurtosis Approx Metastock code
> ------------------------------
>
MG Ferreira
> http://www.ferra4models.com
> For
personal use only}
>
> xx := INDICATOR;
> ll :=
Input("Kurtosis length:",1,9999,50);
> yy := ROC(xx,1,%);
> mm :=
Mov(yy,ll,S);
> dd := yy -
mm;
>
ll*(ll+1)*Sum(Power(dd,4),ll)/(Power(Stdev(yy,ll)*Sqrt(ll/(ll-1)),4)*(ll-1)*
>
(ll-2)*(ll-3))-3*(ll-1)*(ll-1)/((ll-2)*(ll-3))
>
----------8<-----------------------------------------------------
>
>
>
>
>
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