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I have recently been researching the ideas and mathematics behind chaos
theory, primarily to keep the grey matter flexible, but with an eye to
the possible uses in trading. My initial thoughts are that it may be of
use in setting boundry conditions.
Today I came across a reference to some work by a man named
Bacheleir(sp) who had calculated the fractal dimmension, of some stock
market, to be a number that implied that market was only dependant on
the last 42 months actions. There are obvious questions: Which market?
Using daily bars? Is the fractal dimmension correlated to volatility in
the period? ....
If it was daily bars and it is aplicable to any market, it is
interesting that it would imply only 15 days data is needed for one
minute bars.
Anyway, I will keep researching this, but thought I would give the list
a shot for other parties interested in this subject and/or knowledge of
the above work. He possibly published with a man named Casti.
Thanks and Good Trading
Rod
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