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On Mon, 18 Dec 2000 20:50:03 -0600, you wrote:
>This post brings up an interesting point (to me anyway); one that I've been grappling w/ for awhile. Simply, how does one know (most probably) whether his trading system results are random or not?
>
This imo primarily depends on the amount of randomness of the price /
market data that are used. And for such "time series" there are well
established analysis techniques to "measure" e.g. the "dimensionality"
(of a representative attractor) of the (nonlinear) system behind these
data. So we can get an impression of the "complexity" of the (market)
system behind these data, even without having a valid model or even
knowing the (most) relevant influence parameters.
Of course there are limitations of these analysis methods, most often
in terms of the restricted amount of data available, but practical
results show, that there is a significant amount of determinism e.g.
in option markets (, at least for the german DAX, which I have
tested).
mfg rudolf stricker
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