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Attached is a copy of something I developed based on the idea of
Fractional Brownian Motion. It is sort of a combination of linear
regression, bollinger bands, and the square root of time. The OEX has
spent very little time above the band before it corrected. The way it
looks now is that we have less than a week left in this move up. It also
has rallied strongly after touching or penetrating the lower band. The
expansion of the bands increases as a function of time (the square root
of time). This explains why volatility increases over time and
subsequently the range that the underlying trades in increases. If you
think of volatility in terms of an anxiety indicator you can relate this
to time. It is like what happens to your level of anxiety the longer you
have to wait to get into the bathroom.
Ron McEwan
Attachment Converted: "c:\eudora\attach\BrownFracMot.gif"
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