Recent Content by Thumama

  1. Use random walk to make $$$

    What if the price moves randomly at all levels of frequency! A modified version of the variance ratio test can be used to simultanously test the...
    Post by: Thumama, Aug 25, 2008 in forum: Strategy Building

  2. What a terrible decade

    Since you're asking about the future, no one will tell you the exact truth. And if, by chance, someone tells you the truth, you will never know...
    Post by: Thumama, Aug 20, 2008 in forum: Economics

  3. Use random walk to make $$$

    I must admit that the original post was based on an idea that is IMPOSSSIBLE to implement. It is possible to extend a random time series to become...
    Post by: Thumama, Aug 18, 2008 in forum: Strategy Building

  4. Use random walk to make $$$

    Thanks for your post piezoe.. In a typical variance ratio test, we are testing the following: Var(x) = k * Var(y) Where length of period x =...
    Post by: Thumama, Aug 9, 2008 in forum: Strategy Building

  5. Implied Volatility autocorrelation

    On Friday 8-8-2008, the VIX index closed at 20.66 1. There is a high chance that next Monday it will close around this number ( for example,...
    Post by: Thumama, Aug 9, 2008 in forum: Options

  6. Implied Volatility autocorrelation

    The level of IV is definitely autocorrelated, but that's not important and not even relevant. What's really important is whether the IV rate of...
    Post by: Thumama, Aug 8, 2008 in forum: Options

  7. Use random walk to make $$$

    dtrader98 Sorry if my statement was not clear.. English is NOT my first language :( My proposed idea is based on the assumption that returns...
    Post by: Thumama, Aug 6, 2008 in forum: Strategy Building

  8. Use random walk to make $$$

    Still working on it.. Do you have any thought? Finding the right solution to a specific problem is easier than finding the right problem to a...
    Post by: Thumama, Aug 5, 2008 in forum: Strategy Building

  9. Use random walk to make $$$

    1. Market behavior is mathematically not random but economically random.. and you cannot consistently achieve abnormal returns from the...
    Post by: Thumama, Aug 5, 2008 in forum: Strategy Building

  10. Use random walk to make $$$

    Couldn't agree more except for the trick. Testing randomness must cover the whole time-series. Slicing the series into predetermined parts will...
    Post by: Thumama, Aug 5, 2008 in forum: Strategy Building

  11. Use random walk to make $$$

    The idea I'm thinking about is not related to Shannon's method. As to Shannon method itself; which is older than me, If it works we would have...
    Post by: Thumama, Aug 5, 2008 in forum: Strategy Building

  12. Use random walk to make $$$

    Correlation has nothing to do with randomness. High correlation doesn't imply nonrandomness. Autocorrelation does. The randomness I'm refering to...
    Post by: Thumama, Aug 5, 2008 in forum: Strategy Building

  13. Use random walk to make $$$

    Hi.. Assume that the market is efficient and that prices move randomly. 1. For any stock, test the randomness of its price moves. There are...
    Thread by: Thumama, Aug 5, 2008, 79 replies, in forum: Strategy Building

  14. Making $$$ using random walk

    Hi.. Assume that the market is efficient and that prices move randomly. 1. For any stock, test the randomness of its price moves. There are...
    Thread by: Thumama, Aug 4, 2008, 0 replies, in forum: Trading