I remember when I wrote this I was truly apprehensive. Could some part of me (all of us) have pre-cog abilities that are subconcious? I was off on the date of the debacle by about three weeks from when I had this unease (it was much stronger than I made it out to be, but I don't like sounding like this on my posts - too much voodoo). I know you think I am crazy at best with the "harmonic convergence" crap, but I am telling you these things happen to me more often that I can count. My personality dismisses them out of hand, but maybe I need to listen to a side of me I don't understand. What is the lag? Probably nothing, but worth just keeping track, at least for fun... PS. I hate when my text contains so many "I's"
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I decided that in order to fully automate the calibration of the parameters that are somehow at the heart of the FV model, I need to use a neural net. The problem stems from the fact that while I can do it by hand, it is extremely tedious because perturbing and seeng correlates is very inefficient. The whole idea is to be able to take multi-dimensional derivatives and seeing the effects if the model then becomes predictive. This powerpoint sort of explains the problem: Learning Energy-Based Models of High-Dimensional Data http://www.google.com/url?sa=t&sour...tcySCA&usg=AFQjCNHQWZElg0G_jMzV7ZTUxvV65vvJCA
In a very strong sense, the first [physical] model that did this correctly was Maxwells equations. Realizing that all electromagnetic phenomena including light was composed of two fields, the electric field and a magnetic field, both undulating in space-time together at right angles to each other. Maxwells equations beautifully explain this in four equations that are vector derivatives: The FV problem is that we have formulated the equations, as Maxwell did, in a "flat price-time" instead of a "curved price-time", where the metric may no longer be a Minkowski metric: http://en.wikipedia.org/wiki/Maxwell's_equations_in_curved_spacetime I believe String/M-Theory had to reformulate MEs to higher-dimensions in order to deal with the prediction of string theory that gravity is weak because it is leaking into higher dimensions. I say that just to give you an idea of the complexity involved in finding the equations to "FV." Think about this for a minute. At every price, there is a buyer and a seller. So through price-time, there are two fields propagating together, bull and bears. What is non-linear is the extremely high dimensional space that makes the decision that creates a buyer-seller pair (yes I am using particle physics metaphor, and yes I wish I knew the [operator] algebra that did this, i.e., gauge theories of markets.) I suspect that the pockets where my "FV" does well is because the "market" is passing through a "Minkowskian price-time field", in other words, where "flat" equations do a good job As soon as that is no longer true, "FV" starts to deviate. In essence, "FV" is the Zero-point field of "price-time." http://en.wikipedia.org/wiki/Vacuum_state Therefore, instead of trying to find the high-dimensional, highly non-linear equations, we do the next best thing in a high dimensional price-time field, we use a neural net to get the weights. Since this is trading and not physics, and therefore we don't care about "explanation" and only results, this works for our purposes. The problem is the data. Always the damn data. One last note. Magnetic Monopoles are predicted by many of these equations. Recall that we see isolated electric charges without magnetic ones, e.g., the electron. But we never see an isolated magnetic charge. We see magnets with both poles, and it we try to isolate the north or south pole by breaking a magnet in half, we get both poles again. Magnetic monoples do not seem to be possible in nature (although we believe they are at the very instant of creation). http://en.wikipedia.org/wiki/Magnetic_monopole "Flash crashes" are probably the metaphor of "isolated magnetic charges".
Added @ 1201. These trades add to both the VIX puts and the SPY calls. The adds are using ~55 delta options a the time of the add. The VIX puts strikes are mostly based on liquidity, since just about anything seems too high. 1220 seems a very reasonable target by Thursday of this week, minus exogenous events.