Potentials of Unbalanced Complex Kinetics Observed in Market Time Series

Discussion in 'Strategy Development' started by stephencrowley, Sep 7, 2005.

  1. Potentials of Unbalanced Complex Kinetics Observed in Market Time Series

    As a model of market price, we introduce a new type of random walk in a moving potential which is approximated by a quadratic function with its center given by the moving average of its own trace. The properties of resulting random walks are similar to those of ordinary random walks for large time scales; however, their short time properties are approximated by abnormal diffusion with non-trivial exponents. A new data analysis method based on this model enables us to observe temporal changes of potential forces from high precision market data directly.

    Am I missing something completely here? It appears these guys are just using two moving averages and plotting the ratio of the two and think that it is amazing that it fluctuates between positive and negative.
  2. Well, ...it is a little surprising that such a simple model based on moving averages works this well ..... Actually, their model of a "super" moving average and their construction of a decent potential type model and their characterization of the diffusion term is quite nice.

    ...however, it is - except perhaps for a testable diffusive term - essentially a restatement of what most experienced traders alreay know, even if they haven't bothered to construct a model around it ....
  3. What do you mean by "works well"? You need some kind of success criteria. Seems like glorified TA to me.