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Hi Kevin,
I usually nod off or hit the delete key whenever someone starts
talking about nural nets (software), so from a limited understanding, isn't
this exactly what they try to do? There has been some discussion here about
them so perhaps someone more expert can enlighten both of us.
Good luck and good trading,
Ray Raffurty
-----Original Message-----
From: Kevin Morgan <kmorgan@xxxxxxxxxx>
To: RealTraders Discussion Group <realtraders@xxxxxxxxxxxxxx>
Date: Monday, January 18, 1999 2:35 PM
Subject: GEN: phase behavior in price action
>I've got a notion about market action I'd like some feedback on.
>
>In computer programs there are memory access patterns that occur over the
>course of execution of the program. Specifically, a program moves through
>"phases" of behavior, and in each phase, a particular pattern of memory
>accesses occurs for a period of time. A diagram of this can be built by
>putting graphing memory locations (by pages) long the Y axis, and time at
>some unit of granularity on the X axis. Black in the areas of memory
>being touched across time. You'll see fairly consistent patterns, then
>suddenly, a change to a new pattern, etcetera.
>
>Market price/time graphs exhibit the same thing. A pattern
>emerges, goes for awhile, then changes, goes for awhile, changes,
etcetera.
>
>Might it be possible to:
>
> - build a canonical set of "phase behavior" patterns for a given market,
> or even for "all" markets;
>
> - have an algorithm for "early detection" of probable phase change and
what
> the new phase type is;
>
> - select the trading algorithm best suited to the likely phase type;
>
> - execute that trading algorithm, and make real time adjustments if
> the phase identification component changes it's mind about what's up.
>
>Obviously, the key to success is early and accurate detection of phase
>action, combined with the quality of the trading algorithm against that
>type of phase bahavior.
>
>This idea has been rolling around in my head a little. What do you think?
>Does anyone know of published material along this line of market analysis?
>Is this a new idea or old hat?
>
>I realize the most basic approach to this is "trending" versus
"non-trending"
>market assessment, and adaptive trading algorithms based on this
assessment;
>this indeed is "old hat", but...difficult (in my system building
experience)!
>What I'm suggesting here is a generalization of this approach.
>
>A possible way to proceed would be to have a canonical set of phase
behaviors
>which are parameterized, and the parameters are identified based on
specific
>market behavior in the past, with more emphasis on recent market behavior.
>Another would be to just do all phase analysis/pattern construction "on the
>fly" based on specific market data (although I guess there'd still have to
be
>some "archtypes" of phase action that the analysis s/w is looking for, so
>maybe this isn't really any different).
>
>All ideas and feedback are welcome, sorry if this is out in left field.
>
>Thanks,
>-Kevin
>
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