Here is a good paper. Just google Robert Tompkins and volatility. He has done lots of interesting work on surfaces....
So if the machine algorithmns are just trading with each other to foment a market, what are some general methods to "game" the machines? It would...
Ok, agree with you on slope, that was just the simplest example. I still believe that in the definition and calculation of trend (however one...
Got to disagree. Any method to define or measure a trend should be independent of the scale of the time frame. Example, the simplest definition of...
Defining a trend over a given time period x is easy, and can be done by any number of methods. However, how do you choose the value of x? Choosing...
There are some good books by Riccardo Rebonato and Alireza Javaheri that go into detail about volatility hedging and putting on skew and kurtosis...
Delta can give you a rough idea of probability. For a more quantitative answer, use this formula (assuming a normal return distribution with no...
Bullshit, the future cannot be predicted with anything greater than 50% precision.
You have just discovered the fractal nature of financial time series. Congrats!
dom, have you looked at the Autocorrelation Periodogram method of locating the dominant cycle? He prefilters (roofing filter) to stay within the...
John Ehlers is the man for using DSP methods on market data. Lots of his work is available for free if you search. Look at his work on finding the...
The reason moving average cross-overs does not work, or more generally TA is because price moves are pretty close to a random walk process. I say...
The attached text file is a couple of lists of tenets concerning speculation attributed to Jesse Livermore. Perhaps the greatest speculator, and...
So then we should all forget about technical analysis because it is BS, and any attempt to validate TA through backtesting is BS because it is all...
Fluctuate yes, but if you have a zero or a negative mean, then you don't have a positive expectancy system do you? Of course you would have to...
The ATM strike should have a delta closest to 0.50.
If you have a look at John Ehlers latest book "Cycle Analytics for Traders", in chapter 17 there are two sections which may help you called...
For options, the delta can give a reasonable approximation of the probability of the price finishing OTM. The probability of price touching the...
Also, the probability of a win has a large variance unless you have a significant numbers of trades in a year, on the order of a 1000 trades...
I am actually coming more and more to the view that a random walk model of the market is the best description of how prices move through time....
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