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
>
>
>
>
> ________________________________________
> Yahoo! Groups Links
> • To visit your group on the web, go to:
> http://groups.yahoo.com/group/equismetastock/
>
> • To unsubscribe from this group, send an
email to:
> equismetastock-unsubscribe@xxxxxxxxxxxxxxx
>
> • Your use of Yahoo! Groups is subject to
the Yahoo! Terms of Service.
Yahoo! Groups Links