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Search: Posts Made By: Fat Tails
Forum: NinjaTrader January 23rd, 2016, 06:33 PM
Replies: 23
Views: 11,433
Posted By Fat Tails
I have read the book "Why Stock Markets Crash" by...

I have read the book "Why Stock Markets Crash" by Didier Sornette. He is a brilliant guy, maybe a bit too brilliant for me. I was able to grasp the major findings that he exposed, but I could not...
Forum: NinjaTrader July 29th, 2010, 09:36 AM
Replies: 23
Views: 11,433
Posted By Fat Tails
Found this paper by Thomas Lux

Brief report on current status (2006) of econophysics by Thomas Lux. The paper includes a reference list of previously published books and articles for those who are interested in the subject.
...
Forum: NinjaTrader May 8th, 2010, 09:11 AM
Replies: 23
Views: 11,433
Posted By Fat Tails
Extinction of Species and the VIX

Thursday's crash confirmed again that markets are not random, but that they show periods of extended equilibrium, and then all of a sudden a minor triggers such as the debt refinancing of Greece...
Forum: NinjaTrader May 4th, 2010, 08:23 PM
Replies: 23
Views: 11,433
Posted By Fat Tails
There are not only Spikes but also Flat Peaks and Troughs

If I am talking about non-linear relationships, I am not thinking yet about any formula. I just want to compare the trading universe with other systems that are composed of a large number of agents,...
Forum: NinjaTrader April 26th, 2010, 05:37 PM
Replies: 23
Views: 11,433
Posted By Fat Tails
How to detect sudden shifts in value?

I admit that I have a bit neglected this thread. The reason here is that I need time to digest the findings.

:questionmark: During 95% of the session ES remained within a trading range, then a...
Forum: NinjaTrader April 16th, 2010, 10:44 PM
Replies: 23
Views: 11,433
Posted By Fat Tails
Hi darthtrader 3.6., thanks for your comments. ...

Hi darthtrader 3.6., thanks for your comments.

Maybe a model of the market using statistical variables is impossible, as you said. But I have learned quite a lot from having a look at nonlinear...
Forum: NinjaTrader April 11th, 2010, 05:53 PM
Replies: 23
Views: 11,433
Posted By Fat Tails
You are absolutely right. I should not have...

You are absolutely right. I should not have blamed Walras for applying a mathematical formalism borrowed from physics, as he actually contributed to the development of economics. It is certainly not...
Forum: NinjaTrader April 11th, 2010, 02:52 PM
Replies: 23
Views: 11,433
Posted By Fat Tails
Hi Richard, This an excellent question. On...

Hi Richard,

This an excellent question. On a smaller timeframe a bar is a proxy for a trading range. If the following bar closes outside that range we have a shift in value (= trending price...
Forum: NinjaTrader April 11th, 2010, 11:42 AM
Replies: 23
Views: 11,433
Posted By Fat Tails
Sugarscape

There is a little simulation that shows how agent and rule based systems behave. This is the island of sugarscape. The sugarscape terrain is a two-dimensional grid comprising rows and columns of...
Forum: NinjaTrader April 11th, 2010, 10:04 AM
Replies: 23
Views: 11,433
Posted By Fat Tails
Continuous versus fractal definition of a trend

This topic is difficult, but I will try to continue, because I believe it will give me a better understanding of the way markets work.

Moving Averages and Linear Regression

The most widely...
Forum: NinjaTrader March 31st, 2010, 06:14 AM
Replies: 23
Views: 11,433
Posted By Fat Tails
Trend picture

The question of of determinig trends is a difficult subject, so I want to start with some examples.

The standard trend definition is well-known

Uptrend: Higher high and higher low
Downtrend:...
Forum: NinjaTrader March 22nd, 2010, 01:36 PM
Replies: 23
Views: 11,433
Posted By Fat Tails
Trends and Nonlinear Dynamics

There are three fascinating subjects related to the markets that permanently catch my mind. I want to deal with one of them here to study the main characteristics of a trend.

The three topics are...
Showing results 1 to 12 of 12

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