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http://www.purebytes.com/archives/omega/2001/msg02938.html
----- Original Message -----
From: "DC" <dc010225@xxxxxxxxxxxxx>
To: <omega-list@xxxxxxxxxx>
Cc: "DC" <dc010225@xxxxxxxxxxxxx>
Sent: Tuesday, January 15, 2002 1:34 PM
Subject: EL code for H ?
> Is anybody willing to share his Easy Language (EL) code for calculation
> of Hurst Exponent (H) ?
>
> Is anybody willing to share his trading experiences using H ?
>
> H is available in real-time on Bloomberg terminals (see [5], page 57),
> H is defined in [5], page 119, and trading results are presented in [5],
page
> 149.
>
> Regards, DC
>
> More Notes:
>
> - References [5], [6], [7], and [8], are among the most provocative
> financial book in recent years introducing a new theory of markets
> based on Mathematical Chaos, Complexity Theory and Fractal Geometry.
> These book demonstrates that certain "persistence" and "bias" exists
> in markets, and prices are not random, they are nonlinear. It is possible
> to make money by timing the market. Mechanical system traders know
> this fact for many years.
>
> - New "Fractal Market Hypothesis (FMH)" (introduced by Peters in {8])
> is a complex field requiring several year to master it. Where to start?
> Start with Hurst (see [9] for origins).
>
> - The Nile river in Egypt has historical flood records going back to
> biblical times. Hurst, the celebrated British hydrologist, studied these
> records in Cairo in 1930, and came with a new statistical method named
> after him for distinguishing random and nonrandom systems. A key
> parameter is called Hurst exponent (H), and method is called R/S Analysis
> (Rescaled Range). The persistence of trend exists in many phenomena
> including equity and derivatives markets.
>
> - For example, white noise, which has no persistence, has H = -0.5, brown
> noise, which has persistence, has H = 0.5, water-flow statistics for
Rhine
> river at Basel, H = 0.5, and Nile river, H = 0.91. One of best persistent
> markets are currency markets, for example, Yen/Dollar exchange rate has
> H = 0.64.
>
> REFERENCES:
>
> B. Fractal Market Hypothesis (FMH)
>
> [5] Christopher T. May, "Nonlinear Pricing", John Wiley & Sons, Inc. 1999
>
> [6] Manfred Schroeder, "Fractals, Chaos, Power laws", W.H. Freeman and
> Company, 1991
>
> [7] Edgar E. Peters, "Fractal Market Analysis", John Wiley & Sons, Inc.,
> 1994
>
> [8] Edgar E. Peters, "Chaos and Order in the Capital Markets", John Wiley
&
> Sons, Inc., 1996
>
> C. Hurst Exponent
>
> [9] Harold Edwin Hurst, "Long-Term Storage, An Experimental Study",
> Constable & Co. Ltd, London, 1965
>
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