Article/Paper - "Filtering in Finance"

Discussion in 'Technical Analysis' started by Equalizer, May 16, 2005.

  1. I am from California and manytimes i find the wind comes from me... :p

    Its obvious that Planetary Tidal Forces control market movements...

    I am Not from the Merchant Class...

    I am from the Warrior-Philospher Class...

    A blend of Lao Tse & Sun Tzu...

    :)
     
    #41     May 19, 2005
  2. Funny you should mention that. I was so stupid thirty years ago that I actually did a lot of Fourier Transform work to find those planetary influences. Didn't find anything, but learnt tons about how to twist transforms to get something from nothing. Shudda writ a Pesavento-type book. Or become a Wiles Welder.

    "When the Moon is in the Seventh House
    And Jupiter aligns with Mars
    Then peace will guide the planets
    And love will rule the stars."
     
    #42     May 19, 2005
  3. After searching and buying some Trading related books from Amazon.com, I've developed a theory of evaluating "potentially valuable" books.

    I look at the price (A) and availability (B) of new stock, and the prices (C) and availability (D) of any used stock.

    I. If A = Low, B = 0, C = High, and D = Few; the book would be probably of good value.

    II. If A = High, B = Many, C = Low, and D = Many; probably very limited value.

    III. etc.
    :confused: :D
     
    #43     May 19, 2005
  4. From what i have obseved it's more along the lines of simple 'Merchant' observational rules when looking at Planetary Tidal Forces... to see how they integrate with market movements...

    for example...
    take lunations.. (New Moons and Full Moons) - everyone can see the physical effect they have on the ocean's tides and many people have put them on charts and saw that many times the sp goes up into full moons and drops into new moons but its still messy and sometimes fails bady so what's new... but what i have observed is that price points seem to match a lot during a lot of lunations...

    for example - The March 24th Full Moon had a top in the sp of 1184.25... ok... then the April 8th New Moon had a Bottom at 1183.25 and then the May 8 New moon carved its way to a post market nite high of 1182.25... all within a few points... hmmm... (fooled by randomness?) but is see this over and over... we have a full moon on May 23 be interesting to see if it drops the market to 1182-1184 area or another full - new moon point...

    then you might say but what of the April full moon which had that day's high of around 1166 - well that matched January 24th's full moon of 1166 too...

    seen this with alot of other Planetary stuff too but still working it out...

    like Moon ApoGee and PeriGee - April 15 low at 1143 at Moon at ApoGee and then an April 28 Moon at Perigee low at 1142... both before big moves up... none of this is mystical just mechnical tidal forces working on the emotional element within us all... i am still in the observational mode on this... but this seems to be accurate whereas the ususal astro stuff is NOT...

    we have a market moving STRONGLY up into the May 19 - 20 time period... how odd that Neptune is retrograde on the 19th and the last two times it was either retrograde or direct in astronomical motion the market CORRECTED to that day a fibonacci retracement of #62%...

    anyway hope it was entertaining if anyting...

    cj

    :)
     
    #44     May 19, 2005
  5. dont

    dont

    The guy who published the paper in question raised a very interesting point on the Wilmott forum.

    If you have a stochastic volatility model how do you estimate the parameters. He set up a challenge generated 5000 numbers from a very popular stochastic vol model and challenged people to tell him what parameters he used.

    Kalman filters, unscented Kalman filters and Particle filters are the standard machinery for this type of job.

    The result even with 5000 points nobody could do it. Seems you need in excess of 100 000!!:eek:

    Hence the paper estimation of the parameters in these models is important for the pricing of derivatives.

    Now you know why he published the paper.

    Now give the guy a break
     
    #45     May 19, 2005
  6. OK, 'splain to me how lunacy affects the oil market, which was a strong driver of equities (maybe).
     
    #46     May 19, 2005
  7. never done any comparison of price in oil and planet coordinates... the sample i shared with you was the sp500 futures... that was the only applied area i have looked at or shared...

    "Ok pete, i know you were talking about blondes but i will ignore that and ask a spurrious question about redheads since i am afraid that what you said about blondes strikes me as a little out of the ordinary"
     
    #47     May 19, 2005
  8. Ah yes Astrology. The real key for aspiring Traders is to deeply research Uranus and its atmospheric gases.
     
    #48     May 19, 2005
  9. Interesting, but still not good enough to discover a tradeble market trick!

    :D
     
    #49     May 20, 2005
  10. That's true. But, at least I usually do feel another inch closer each time. :cool:
     
    #50     May 20, 2005