Hi I've gone to the conference. It was amazing. They presented a huge amount of technical stuff and applied science to the markets. I've been following a system that applies the same technology presented there. I believe is the future of trading.
My only approach to this subjet, that ever fascinated me was some years ago. I found the book Fractals and Scaling in finance. Is was written by Mandelbrot, the creator of fractals and I have it in my hand right now. I've bought it some years ago, but I found it hard to read. At the first sight it seemed to me like the revealed truth, but then, I get bored. Any opinion? Has the subject evolved ever since? has it approached a bit more to reality?
I see two U of H Physics Professors were there in London for the conference....not surprised at all as I see the power of Hyper-Dimensional physics in some mechanical/automated strategy concepts. Joe McCauley - Professor of Physics U of Houston Gemunu Gunaratne - Professor of Physics U of Houston They should have also had Nassim Taleb there to talk about the probabilities of solutions sets not following within current models.
I would recomend a book. The Predictors from Thomas Bass. In the book Mr Bass, describes with detail how Doyne Farmer, a Physisit from SFI together with Norman Packard applied Chaos to predicting the markets. They sold the company in 1998 to OConnor, and finally to UBS. The last stake of the company was bought by UBS last year. http://www.ubs.com/1/e/media_overview/media_americas/mediareleases/search1/search10?newsId=86838 Their research has not been made public but I've found a company, www.predictionlabs.com, that is offering a solution that applies the same technology I saw in London conference. Fortunately for me, they have not been acquiered yet, so I've been able to trade their signal successfully for the last months.
I knew Lisa Borland who was a speaker at that conference. She is just about the smartest scientist I've ever known, and I've met many.
In your heart of hearts, you just know that if these geniuses formed a hedge fund, it would either be the next "LTCM" or correlate 100% to the S&P-500.
yesterday was a fat tail event. someone out there probably has a model that predicted it. now we all know that there's only 1 reason why yesterday was a fat tail event. bernanke said something. so did the model predict accurately or did it get lucky? years from now when someone is building another volatility model, he will process yesterday's data and find ways to predict yesterday's fat tail. then he'll find something and say, "look, my model predicted it." now there's only 1 reason why yesterday was a fat tail. bernanke said something. so can the model predict accurately or did the person inadvertently do a curve fit?
If all those geniuses are so convinced of their own models, why they don't trade it with their own money, instead of writing books and selling advice, yeah, that convinced.....