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TJ, you closet academic, you!
I'd contact the author and ask him a bit more about it... Specifically:
(1) What does he mean by "pricing"? Does the book describe a technical
approach which assumes that the market price is the only price that matters,
or does the book expound a fundamental or "quantitative" approach that
attempts to determine what prices "should be"? (I always get nervous when I
hear people talk about "pricing"... they are usually referring to prices
other than market prices.)
(2) What "time-series" does the book deal with? Prices as a time-series or
some economic time series?
(3) How much of the book is spent on the "incisive introduction to the
topic" including "the roots of nonlinearity through the examples of
calendrics, geometry, and music" and how much of the book is spent on
trading? How many pages are spent on these topics?
(4) How many pages of the book are spent on "trading strategies" and how
many on "asset allocation, risk management, and derivative pricing and
hedging".
My experience with books like this is that they are great introductions to
concepts but that they lack anything that can be applied to trading. They
are long on discussion of all the successes of the methods and short on
formulae, code, and details.
That being said, genetic algorithms and fuzzy logic do seem to have
applications to technical analysis. Nonlinear dynamics and Brownian motion
motion do not seem to me to have as much application. They are yet another
attempt to equate things in the psychological world (prices) with physical
phenomenon. The two things simply don't behave in the same ways (with the
exception that both have some cyclic properties).
The Omega Man
----- Original Message -----
From: tj <tradejacker@xxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Sent: Saturday, July 10, 1999 7:56 PM
Subject: Non Linear Pricing Theory & Applications
any comments? blurb below.......
TJ
Non Linear Pricing Theory & Applications by Christopher T. May
In a totally new way of looking at financial economics, Nonlinear
Pricing abandons the traditional assumptions of equilibrium in
economics and randomness in a time-series. These shortcomings are
becoming increasingly awkward given a superior technological
infrastructure and advances in mathematics and the sciences. Despite
these advances and their empirical proof, much remains confused or
muddled. In this groundbreaking new book, leading hedge fund manager
Christopher T. May explores the nature and role of nonlinearity, an
inherent part of everyday reality, and illustrates a profit-making
strategy. One of the many striking applications of nonlinear technology
in recent years, nonlinear pricing uses cutting-edge technology to
identify and exploit patterns hidden within the seemingly
helter-skelter rise and fall of daily stock prices. Nonlinear Pricing
sheds much needed light on the principles behind this innovative view
of reality and provides dear explanations of how it is employed to
predict at least partially the unpredictable. Beginning with an
incisive introduction to the topic, May presents the roots of
nonlinearity through the examples of calendrics, geometry, and music.
He then illustrates the application and integration of various
nonlinear technologies, including genetic algorithms, fuzzy logic,
fractal imaging, and nonlinear dynamics, tO such essentials as trading
strategies, asset allocation, risk management, and derivative pricing
and hedging. Along with practical methodologies and a wealth of
realworld examples, this comprehensive resource contains a glossary of
terms, a bibliography, and in-depth information on: ¥ Fractal analysis
power law distributions, fractional Brownian motion, and their
relationships ¥ The Hurst Exponent the KAOS screen and its practical
implementation ¥ Resonance time domain versus frequency domain,
Brownian motion, and the Gaussian distribution ¥ Advanced concepts
Soros's Reflexivity, nonequilibrium economics, kernel of theoretical
nonlinear pricing, May's Law, resolution and resonance Written by one
of the few practitioners using this breakthrough methodology to trade
the markets successfully, Nonlinear Pricing fills an important niche in
investment literature. It is a must read for anyone seeking to
understand and capitalize on twenty-first century financial economics.
CHRISTOPHER T. MAY is President of Kriya, Inc. and runs TLB Partners,
an onshore hedge fund. He has spoken before the New York and Chicago
Societies of Security Analysts and has appeared on CNBC. He can be
contacted at kriya@xxxxxxxxxxxxxx
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