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RE: [EquisMetaStock Group] Volatile markets



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MG, I’d never pick a fight with anyone…but least of all with my own young daughter. First off, I know what’s good for me - her mother is Mongolian, and I can say without a shadow of doubt that the blood of Ghengis runs through her veins! More importantly though, she’s developed a remarkable knack of crying for attention just as my favourite indicators start popping off, which was a bit of a distraction until I realised that it might end up making my fortune. “ Megan’s CryBaby Plug-in” has a nice, marketable, ring to it don’t you think?

I bet I can sell it too…

 

 


From: equismetastock@xxxxxxxxxxxxxxx [mailto:equismetastock@xxxxxxxxxxxxxxx] On Behalf Of mgf_za_1999
Sent: Tuesday, May 17, 2005 5:32 PM
To: equismetastock@xxxxxxxxxxxxxxx
Subject: Re: [EquisMetaStock Group] Volatile markets

 

Ah, there is nothing like family to balance market stresses with.

But, by reading it to your daughter, were you then picking a fight
with her?  Having a 3 month old daughter myself, I'd be careful if I
were you.....  I discussed the Heikin-Ashi posts with mine and as a
result had a sleepless night.

I should have learned after the market-eye experience.....

Regards
MG Ferreira
TsaTsa EOD Programmer and trading model builder
http://www.ferra4models.com
http://fun.ferra4models.com



--- In equismetastock@xxxxxxxxxxxxxxx, "TecloGeo" <teclogeo@xxxx> wrote:
> Wow!
> When I read that one aloud to my daughter she opened her mouth and
her dummy fell out…so at least I have it on good authority that you
speak wisely!
> Unfortunately I can’t claim to follow it so well…but I can tell
you that, from what you say, my own personal “fractional order of
integration” must definitely be less than 0.5…
>
> ➢ Every nondegenerate distro lies in the maximum domain of
attraction of an EVT distro
>
> That's fighting talk where I come from!
>
>
> ________________________________________
> From: equismetastock@xxxxxxxxxxxxxxx
[mailto:equismetastock@xxxxxxxxxxxxxxx] On Behalf Of mgf_za_1999
> Sent: Tuesday, May 17, 2005 2:36 PM
> To: equismetastock@xxxxxxxxxxxxxxx
> Subject: [EquisMetaStock Group] Volatile markets
>
> There is this school of thought, that the market has a volatility
> without bound.  They get their theory from the stable distributions,
> of which the central limit theorem is a special case.  There is this
> thing called the alpha parameter.  If it is '2', the max, then you
> have a stable distro with a finite variance, and the thing reduces to
> the central limit theorem.  If alpha is less, then you have something
> with infinite variance.  If alpha is less than one, then even the mean
> is infinite (if I remember correctly).
>
> Also, another school of thought, uses the correlogram to determine
> something called the fractional order of integration.  If this order
> is less than 0.5, then the response to shocks becomes infinte and the
> system is inherently unstable.
>
> These schoolds are the guys calling for higher margin as the market
> basically is much more volatile - in their opinion - than what we
> think and is too dangerous for the average person to participate in,
> so we need high margins.  If any of these holds (alpha<2 or d<=0.50),
> there is no way in which it (volatility) can be transformed away.
>
> Anyhow, I think ATR works because it deals with extremes.  Yet another
> school uses EVT (extreme value theory) to measure tails and fit
> distros to the tails.  Every nondegenerate distro lies in the maximum
> domain of attraction of an EVT distro (if I remember correctly) which
> means in practise you can model the tail of almost any distro using an
> EVT distro.
>
> The way in which you fit an EVT distro is to first filter out all the
> extreme values, say the largest and smallest values per week.  So you
> reduce the time series from say 50 values (5 per week) to 10 values
> (one per week).  Now you fit an EVT distro to this and use it to
> predict say the next day extreme.  ATR uses the high and low of the
> day, so I guess it relates quite a bit to EVT.  But you would not use
> ATR when pricing options e.g.  Here you'll start with good ol' stdev,
> maybe weight it as in an example in a previous post, maybe expand it
> to a GARCH model as in another example or something like that.
>
> Regards
> MG Ferreira
> TsaTsa EOD Programmer and trading model builder
> http://www.ferra4models.com
> http://fun.ferra4models.com
>
>
>
>
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