Finally something that's not repeated or followed path work. Mathematica is great for doing such work but the learning curve is a little steep ,as well as expensive. But if your really looking (exploring and thinking that is) for software to help you out it has no match. Check out this book http://www.amazon.com/exec/obidos/t...f=sr_1_7/002-8597230-3056854?v=glance&s=books for some insite on time series and wavelet analysis. Also you may want to check out cellular automata work by Wolfram or Edward Fredkin. You will have to think something original to make the tools work for you. For example Rule 30 of Wolframs CA is used for random number generator in Mathematica. Think simplicity and you will be on the right path. Look at data from all aspects , I use time and sales for ES. Look for patterns in the chaos. Look at the time and sales when the price doesn't move but hundreds of contracts go off , what is the pattern after that? What about before that? CA is all about simple rules that generate complexity , such as one fund shorting the dollar and a cascade effect in the early morning hours as Europeans need to cut exposure to US equities because of this. Hedge Funds see the momentum and press shorts. Fredkin's work is about working backwards from the complex to the simple. But a good start would be wavelets and timeseries analysis.