Do you see patterns in Random Walks?

Discussion in 'Technical Analysis' started by atlTrader666, Aug 10, 2011.

  1. kut2k2

    kut2k2

    Excellent post. Finding patterns in randomness is a big fat DUH!
     
    #551     Sep 22, 2011
  2. Thanks for the links, I think now I understand more.
    According to the first link, a raster is a snapshot of the environment at a certain point in time, then arrange several of those along the time dimension. How could step movements of ticks be an environment at a certain point in time, how many ticks can there be one point in time? I can understand the example of pond depths or a map of rainfall. An extension to markets could be, for example, the end of day heat maps from finviz.
    I did a study last year of a random entry strategy, differing only in stop-limit amounts. I suppose this would be a raster, if lined up along a time dimension instead of 6 different pics, to watch as the red (profitable combos) swaps sides with the blue (unprofitable combos). (Yellow = mostly close to breakeven).
     
    #552     Sep 22, 2011
  3. MAESTRO

    MAESTRO

    Excellent post! Thank you for chiming in!

    Cheers,
    MAESTRO
     
    #553     Sep 22, 2011
  4. MAESTRO

    MAESTRO

    Excellent stuff!

    Cheers,
    MAESTRO
     
    #554     Sep 22, 2011
  5. The winding of a river is dependent not only on the flow of the water, but also the properties of the river banks as well. Also if there are runoffs and flood plains (dammed). This needs to be accounted for too.
     
    #555     Sep 22, 2011
  6. MAESTRO

    MAESTRO

    SPONTANEOUS SYNCHRONIZATION

    The New Yorker © 1947

    The Law

    By ROBERT M. COATES


    THE first intimation that things were getting out of hand came one early fall evening in the late
    nineteen-forties. What happened, simply, was that between seven and nine o’clock on that evening
    the Triborough Bridge had the heaviest concentration of outbound traffic in its entire history.
    This was odd, for it was a weekday evening (to be precise, a Wednesday), and though the
    weather was agreeably mild and clear, with a moon that was close enough to being full to lure a
    certain number of motorists out of the city, these facts alone were not enough to explain the
    phenomenon. No other bridge or main highway was affected, and though the two preceding nights
    had been equally balmy and moonlit, on both of these the bridge traffic had run close to normal.
    The bridge personnel, at any rate, was caught entirely unprepared. A main artery of traffic, like
    the Triborough, operates under fairly predictable conditions. Motor travel, like most other large-scale
    human activities, obeys the Law of Averages—that great, ancient rule that states that the actions of
    people in the mass will always follow consistent patterns—and on the basis of past experience it had
    always been possible to foretell almost to the last digit, the number of cars that would cross the bridge
    at any given hour of the day or night. In this case, though, all rules were broken.
    The hours from seven till nearly midnight are normally quiet ones on the bridge. But on that
    night it was as if all the motorists in the city, or at any rate a staggering proportion of them, had
    conspired together to upset tradition. Beginning almost exactly at seven o’clock, cars poured onto the
    bridge in such numbers and with such rapidity that the staff at the toll booths was overwhelmed
    almost from the start. It was soon apparent that this was no momentary congestion, and as it became
    more and more obvious that the traffic jam promised to be one of truly monumental proportions,
    added details of police were rushed to the scene to help handle it.
    Cars streamed in from all directions—from the Bronx approach and the Manhattan one, from
    125th Street and the East River Drive. (At the peak of the crush, about eight-fifteen, observers on the
    bridge reported that the drive was a solid line of car headlights as far south as the bend at Eighty-ninth
    Street, while the congestion crosstown in Manhattan disrupted traffic as far west as Amsterdam
    Avenue.) And perhaps the most confusing thing about the whole manifestation was that there seemed
    to be no reason for it.
    Now and then, as the harried toll-booth attendants made change for the seemingly endless
    stream of cars, they would question the occupants, and it soon became clear that the very participants
    in the monstrous tieup were as ignorant of its cause as anyone else was. A report made by Sergeant
    Alfonse O’Toole, who commanded the detail in charge of the Bronx approach, is typical. "I kept askin’
    them," he said, " ‘Is there night football somewhere that we don’t know about? Is it the races you’re
    goin’ to?’ But the funny thing was half the time they’d be askin’ me. `What’s the crowd for, Mac?’ they
    would say. And I’d just look at them. There was one guy I mind, in a Ford convertible with a girl in the
    seat beside him, and when he asked me, I said to him, `Hell, you’re in the crowd, ain’t you?’ I said.
    `What brings you here?’ And the dummy just looked at me. ‘Me?’ he says. `I just come out for a drive in
    the moonlight. But if I’d known there’d be a crowd like this . . .’ he says. And then he asks me, `Is there
    any place I can turn around and get out of this?’” As the Herald Tribune summed things up in its story
    next morning, it "just looked as if everybody in Manhattan who owned a motorcar had decided to
    drive out on Long Island that evening."
     
    #556     Sep 23, 2011
  7. MAESTRO

    MAESTRO

    2

    The incident was unusual enough to make all the front pages next morning, and because of
    this, many similar events, which might otherwise have gone unnoticed, received attention. The
    proprietor of the Aramis Theatre, on Eighth Avenue, reported that on several nights in the recent past
    his auditorium had been practically empty, while on others it had been jammed to suffocation.
    Luncheon owners noted that increasingly their patrons were developing a habit of making runs on
    specific items; one day it would be the roast shoulder of veal with pan gravy that was ordered almost
    exclusively, while the next everyone would be taking the Vienna loaf, and the roast veal went begging.
    A man who ran a small notions store in Bayside revealed that over a period of four days two hundred
    and seventy-four successive customers had entered his shop and asked for a spool of pink thread.
    These were news items that would ordinarily have gone into the papers as fillers or in the
    sections reserved for oddities. Now, however, they seemed to have a more serious significance. It was
    apparent at last that something decidedly strange was happening to people’s habits, and it was as
    unsettling as those occasional moments on excursion boats when the passengers are moved, all at
    once, to rush to one side or the other of the vessel. It was not till one day in December when, almost
    incredibly, the Twentieth Century Limited left New York for Chicago with just three passengers aboard
    that business leaders discovered how disastrous the new trend could be, too.
    Until then, the New York Central, for instance, could operate confidently on the assumption
    that although there might he several thousand men in New York who had business relations in
    Chicago, on any single day no more—and no less—than some hundreds of them would have occasion
    to go there. The play producer could be sure that his patronage would sort itself out and that roughly
    as many persons would want to see the performance on Thursday as there had been on Tuesday or
    Wednesday. Now they couldn’t be sure of anything. The Law of Averages had gone by the board, and if
    the effect on business promised to be catastrophic, it was also singularly unnerving for the general
    customer.
    The lady starting downtown for a day of shopping, for example, could never be sure whether
    she would find Macy’s department store a seething mob of other shoppers or a wilderness of empty,
    echoing aisles and unoccupied salesgirls. And the uncertainty produced a strange sort of jitteriness in
    the individual when faced with any impulse to action. "Shall we do it or shan’t we?" people kept asking
    themselves, knowing that if they did it, it might turn out that thousands of other individuals had
    decided similarly; knowing, too, that if they didn’t, they might miss the one glorious chance of all
    chances to have Jones Beach, say, practically to themselves. Business languished, and a sort of
    desperate uncertainty rode everyone.
    At this juncture, it was inevitable that Congress should be called on for action. In fact, Congress
    called on itself, and it must be said that it rose nobly to the occasion. A committee was appointed,
    drawn from both Houses and headed by Senator J. Wing Slooper (R.), of Indiana, and though after
    considerable investigation the committee was forced reluctantly to conclude that there was no
    evidence of Communist instigation, the unconscious subversiveness of the people’s present conduct
    was obvious at a glance. The problem was what to do about it. You can’t indict a whole nation,
    particularly on such vague grounds as these were. But, as Senator Slooper boldly pointed out, "You can
    control it," and in the end a system of reëducation and reform was decided upon, designed to lead
    people back to—again we quote Senator Slooper—"the basic regularities, the homely averageness of
    the American way of life."
    In the course of the committee’s investigations, it had been discovered, to everyone’s dismay,
    that the Law of Averages had never been incorporated into the body of federal jurisprudence, and
    though the upholders of States’ Rights rebelled violently, the oversight was at once corrected, both by
    Constitutional amendment and by a law—the Hills-Slooper Act—implementing it. According to the Act,
    people were required to be average, and, as the simplest way of assuring it, they were divided
     
    #557     Sep 23, 2011
  8. MAESTRO

    MAESTRO

    3

    alphabetically and their permissible activities catalogued accordingly. Thus, by the plan, a person
    whose name began with "G," "N," or "U," for example, could attend the theatre only on Tuesdays, and
    he could go to baseball games only on Thursdays, whereas his visits to a haberdashery were confined
    to the hours between ten o’clock and noon on Mondays.
    The law, of course, had its disadvantages. It had a crippling effect on theatre parties, among
    other social functions, and the cost of enforcing it was unbelievably heavy. In the end, too, so many
    amendments had to be added to it—such as the one permitting gentlemen to take their fiancées (if
    accredited) along with them to various events and functions no matter what letter the said fiancées’
    names began with—that the courts were frequently at a loss to interpret it when confronted with
    violations.
    In its way, though, the law did serve its purpose, for it did induce—rather mechanically, it is
    true, but still adequately—a return to that average existence that Senator Slooper desired. All, indeed,
    would have been well if a year or so later disquieting reports had not begun to seep in from the
    backwoods. It seemed that there, in what had hitherto been considered to be marginal areas, a strange
    wave of prosperity was making itself felt. Tennessee mountaineers were buying Packard convertibles,
    and Sears, Roebuck reported that in the Ozarks their sales of luxury items had gone up nine hundred
    per cent. In the scrub sections of Vermont, men who formerly had barely been able to scratch a living
    from their rock-strewn acres were now sending their daughters to Europe and ordering expensive
    cigars from New York. It appeared that the Law of Diminishing Returns was going haywire, too.
     
    #558     Sep 23, 2011
  9. SunTrader

    SunTrader

    Early evening, early fall they were all headed where else .. to The Bronx to watch The Yankees win yet another World Series.

    Same as this year.

    :D
     
    #559     Sep 23, 2011

  10. Interesting, Asimov founded a concept called psychohistory that basically used math to predict the trajectory of large groups of people under certain situations. Is this what you do?
     
    #560     Sep 24, 2011