Market Tech Share Discussion Threads

[energyi] 14/7/2003 08:52

Thnx to Random:

...
His comment:
"To give Sornette credit his charts called the rally when the rest of the world was bearish. They also called the remarkable sustained low vix, which has been a trademark of the rally."

[energyi] 13/7/2003 22:10

100% losers is a GREAT SYSTEM.
You could make a fortune on the Short side

[jdeltablues] 13/7/2003 19:08

That sounds suspicious. Has he really fixed a bug or has he tweaked it to make its predictions fit recent market action?

Academic scientists often seem to forget their training completely when it comes to modelling financial markets. I remember one bursting into a discussion group convinced he'd found a sure-fire method for making money trading Nasdaq stocks, based on signal processing theory IIRC. Strangely enough, practically every trade it threw up was a loser, so he started changing the trading rules, then when changing them every day didn't work he suddenly discovered all these "bugs" in the program and kept announcing that he'd fixed the last one and this time he'd really got it right. After a couple of weeks of almost 100% losers he stopped posting.

Perhaps I'm being over-sceptical, but I couldn't help thinking of him when I saw that.

BTW if there are any academic researchers reading this who think they've found the Holy Grail, the William Eckhart interview in New Market Wizards is required reading.

[kvu] 13/7/2003 11:03

Lets hope there isn't an adjustment, I mean a bug spot, in the chart everytime there is the possibility of an upturn in the market. This week with the all the reporting and earning statements along with options expiry could see some nice up moves, followed by down ofcourse. We could see the NAZ hitting the new highs with the likes of IBM, Microsoft and others reporting.

[energyi] 13/7/2003 10:17

Here' Sornette Again: More Upside?

...
Last month, we were casting doubts on the robustness of the log-periodic formula with a second log-periodic harmonic (see Fig. 5 of last month which is INCORRECT DUE TO A BUG). This resulted from a bug in our program. The corrected program now confirms a robustness of the formula with respect to different noise realizations. The real S&P500 price trajectory is shown as the red wiggly line.

[clem] 12/7/2003 18:09

Energyi. It probably wont be published for a couple of months. When it is if they post it on their site, I'll do that.

[clem] 11/7/2003 23:09

Energyi. What would you like?
Im writing an article for a US mag on Fractals right now, so I might be able to reuse it.

[energyi] 10/7/2003 11:42

From Elliot Wave:

[clem] 06/7/2003 17:40

What!!! No comment. :)

[photoblack] 30/6/2003 17:28

j1202

'I personally would find it slightly staggering though if we were to retest lows from this point because I can't see where the negativity is coming from'.

The negativity might be coming from a little itch on the back of everyones head--you scratch and wonder how these valuations can stay when there is little purchasing power left.

Europe and Japan will not take up the slack in the near future and anything might happen next week after Friday's July 4.

'June 30 (Bloomberg) -- Chicago-area manufacturing expanded less than forecast in June, suggesting a slow recovery for the nation's factories following the war with Iraq, an industry survey showed.

The National Association of Purchasing Management-Chicago said its factory index rose to 52.5 from 52.2 in May. Economists had forecast the index to rise to 53, based on the median of 56 estimates in a Bloomberg News survey. Readings greater than 50 mean business expanded.'

Shed loads of money are getting pumped in and everybody knows it but will it be enough to get Bush re-elected in 16 months.

With so much uncertainty I think it will be a miracle if it isn't tested

OMHO.

[clem] 30/6/2003 15:14

jdeltablue/Energi.

Actually my tounge wasnt really in my check, well not that far anyway.

The Hurst exponent is a gauge of how likely a trend is to continue or not.

Or put another way the closer a trend is to a straightline over the long term, the more likely it is to keep going on that path.

The key word is TREND. You can have a random series that is not a trend, that has a fractal dimension.

However if the time series measured is a Markoff chain, ie a random walk, then the Fractal dimension/Hurst exponent is irrelevant.

Where the subject leads to strange attractors working in multidimensional phase space... but I afraid its where I simply dont have the time to go digging any deeper.

IMHO Time series are not ergodically random, but a mixture of random and non random elements and you can prove this simply by compressing a time series. (The fact that it compresses at all shows that the series is non random)

This should mean that the fractal dimension/Hurst exponent has a relevance to the future.

[energyi] 29/6/2003 00:16

Don't be "CON-FOUND-ED" by period to 2006-2010

BULLS with no sense of History should LISTEN:

Great Interview/Discussion on FinancialSense.com:


Panel Discussion with Jim Puplava:
and four wise men:
Richard Russell
Kennedy Gammage
Peter Eliades
Tim Wood



KG Comment: "Greenspan will be Demon-ised"
TW: "We are certainly at a 'Seasonal top'"

[dr darkstar] 28/6/2003 12:50

INteresting view and what i sthe Hurst exponent ?
Charts, moving averages, Bollinger and US close suggest Bear
I am often wrong !

[clem] 28/6/2003 12:34

Hurst exponent suggests bull to me.

[energyi] 28/6/2003 11:34

Okay.
No tongue-in-cheek, then.
But it looks to me as if the market "trended up" to the MA resistance
and has now pulled back. I'm sure these settings are important and
depending on the settings you can get either a "trend" or "meander"
signal, just as you can with MA's and RSI's

[jdeltablues] 28/6/2003 11:27

The Hurst Exponent was invented to analyze how rivers flowed, but can be applied to a wide range of fields, from medical science to computing. The mathematical definition is at .

A Hurst Exponent greater than 0.5 indicates that the current dominates the flow, so a move in one direction is likely to be followed by another move in the same direction (trending market). A value less than 0.5 indicates that meandering is dominant, so a move in one direction is likely to be followed by a move in the opposite direction (range-bound market). A value of exactly 0.5 indicates that the flow is indistinguishable from a random walk (choppy market).

A fairly readable discussion of the Hurst Exponent (skip over the equations if not interested) is at .

[energyi] 28/6/2003 10:59

thnx, Meg.

Over the next few years,
the US will be in a head-to-head, eyeball-to-eyeball battle with China
to find sources of energy. China is now using only 1/10th as much per
capita, but this is growing fast. And China has relatively little domestic
oil production, while the US production is beginning to fall.

The next big War may come from the competition between these giants

[megryan] 28/6/2003 08:51

energyi

re your post 3 on this thread

take a look at this



and then read this;

Resource Wars
Michael T. Klare

The 'National Energy Policy' (NEP) released by the Bush Administration on May 17, 2001 was supposedly intended to meet growing U.S. energy requirements in the first two decades of the 21st Century while also diminishing U.S. dependence on imported oil. This was to be accomplished, the White House suggested, by increasing production at existing oil fields in the United States and by commencing drilling on the Artic National Wildlife Refuge (ANWR) in Alaska. So great was the furor over drilling on ANWR that most people never bothered to examine the NEP closely. This is unfortunate, as a close reading of the NEP report reveals a very different picture than that suggested by White House pronouncements: far from promoting energy "independence," the NEP assumes that the United States will become MORE, not less dependent on imported petroleum in the years ahead and therefore calls on the Federal Government to take whatever steps are necessary to promote enhanced U.S. access to foreign oil. In particular, the NEP calls on the U.S. Government to seek additional petroleum from the Persian Gulf area, Russia, the Caspian Sea basin, Mexico, Venezuela, Angola, and Nigeria. As is implied by the report, the United States must acquire more oil from these countries in order to permit increased oil consumption in the United States at a time of declining domestic production. Even leaving aside the question of whether these countries will be able to boost their production sufficiently to satisfy steadily rising demand in the United States, this strategy poses enormous challenges for the United States because most of these areas are highly unstable and house anti-American governments and forces. It is likely, then, that U.S. efforts to acquire more oil from these countries will entail the increased presence of U.S. military forces in the area and periodic U.S. military intervention. Indeed, the requirement for increased military action in support of U.S. foreign energy policy is one of the driving factors behind the Bush Administration's military buildup. And while the war in Iraq had several causes, the protection of U.S. oil imports from the Persian Gulf is one of the most important.