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You might also want to get with Val Clancy (of this list) and see where he
stands on his applications of control theory. It seems to me that there
might be some fruit in that area - more than in the areas described in the
book below.
Val - Did you ever select a control theory book to purchase? Which one did
you decide on and how is it?
----- Original Message -----
From: The Omega Man <editorial@xxxxxxxxxxxxx>
To: tj <tradejacker@xxxxxxxxx>
Cc: Omega List <omega-list@xxxxxxxxxx>
Sent: Sunday, July 11, 1999 8:19 AM
Subject: Re: Non Linear Pricing Theory & Applications
>
> 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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