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You can even have more fun by iterating on the parameters to fit a chaotic
pattern to past price data and then project a synthetic, chaotic price into
the future. Back in 1990 I "won" a TAS&C contest with this technique to
trade UAL. In those days I was using an Atari ST as a trading platform
running GFA compiled BASIC. I used a form of simulated annealing to find
the chaotic parameters. It would take the Atari ST about one hour to make a
good fit of past data. On my Pentium 500 and C++ it takes less than a
minute.
Marlowe
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To: <omega-digest@xxxxxxxxxx>
Sent: Monday, August 07, 2000 7:48 PM
Subject: omega-digest Digest V100 #289
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