I, Ming the Merciless, address the most brilliant mathematicians in the world. Following the example set by Pascal, Fermat, etc., I hope to gain the gratitude of the whole scientific community by placing before the finest mathematicians of our time a problem which will test their methods and the strength of their intellect. If someone communicates to me the solution of the proposed problem, I shall publicly declare him worthy of praise... There are few who are likely to solve our excellent problems, aye, fewer even among the very mathematicians who boast that they have wonderfully extended its bounds by means of the golden theorems which (they thought) were known to no one, but which in fact had long previously been published by others. :eek:
We can track the flock's center of gravity with piece-wise interpolation. However we'd still need to know when the synchronization is taking place. How would you go to measure that? Can we assume that prices move exclusively when spontaneous synch occurs? We'd therefore interpolate price (or mean/pivot) and a threshold on the interpolator's derivative could tell whether we are in a flocking situation or not.
Maestro, I have a question for you. Assuming one can predict with significant accuracy changes in price return, how can one develop a positive expectancy system that trades price?
One of the ways we can spot sync is by the relative price moves in multiple time frames. By measuring the square of price differentials multiplied by their accompanied volumes gives you a pretty good idea. Remember kinetic energy formula? m*square(v)/2? m = volume; v = price differential in a period of time. Multi frame correlation of that kinetic energy gives a good idea of sync. Cheers, MAESTRO
I see.. I guess v could be measured by # of unique price changes? So you'd measure kinetic energy on 5m,15m,30m,4h,1d and when all measures are above expected value (random walk deviation) it highlights price has gone too far too fast (flocking behaviour) At that time you can play regression to the spline with positive expectancy. Too bad I don't have clean enough data to backtest such a complex algorithm. Damn, I really miss that fighter pilot 'stealth' software!
It has been enhanced dramatically over the past 6 months or so. Our prop groups are using it now privately. There is always a way to participate in our success though. We are a public company and the shares are available in the open market! Cheers, MAESTRO
It's the only efficient way of exploiting grey boxes. As you know, RTN-Stealth is a grey box, not a black box; therefore you need some operators. However, in order to spread the risk you need to diversify; meaning, you need different operators, thus the only rational solution is prop groups. Not the large groups though. All together not more than 30 people in 3 prop groups. That is enough to manage quite large pile of capital.
For those interested, "Dr." Bogdan's company trades under the symbol QAT on the CNSX, a Canadian penny stock exchange of dubious anticedents. Trading around 15 cents a share lately. I guess the market is not that impressed with the heads-up display or the 30-monitor workstations. FWIW, I have not been able to verify Dr. Bogdan's PhD. Nor can I find any publications in peer-reviewed journals under his name.