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Author: Paitoon Wongsasutthikul
Publisher:
ISBN:
Category :
Languages : en
Pages : 224
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Book Description
This dissertation tackles the problem of non-normality in the distribution of returns and attempts to formulate a proprietary trading strategy to arbitrage the markets using appropriate statistical and mathematical tools. The first essay provides fundamental understanding to fractional Brownian motion (fBm) process, its characteristic Hurst exponent, and the concept of unit root in time series data. The study shows that a simple autoregressive (AR) process with suitable lag coefficients is able to effectively replicate the fractal time series and preserves its characteristic Hurst exponent. More interestingly, an equation that defines the relationship between the AR lag coefficients and the Hurst exponent that described a particular fBm process is also derived. The second essay introduces the concept of excursion measures and illustrates how the Itô's excursion theory can be used as a tool to understanding fractals. The excursionsvalued process is shown to follow a binomial distribution which is a robust substitute for Poisson distribution as suggested from the theory. The results also show that a process with low Hurst exponent or short-memory process has higher mean excursion measure at low excursion length as compared to a process with high Hurst exponent or a longmemory process. On the other hand, we see systematic wandering with longer excursion in a long-memory process with Hurst exponent higher than 0.5. Based on the discovery from the first two essays, the third essay combines these findings together to form a trading strategy called "Hurst Trading" with trading signals generated from the fluctuation in the dynamics of the Hurst exponent across time, among other indicators. We find that for the period between 2002 to 2011 the Hurst Trading strategy is able to outperform the traditional momentum strategy and the "Buy and Hold" strategy by a wide margin on stock trading in the DJIA Index, SPX Index, and R2500 Index. Furthermore, the more fractal the process is, the higher the chance that the Hurst Trading algorithm would be able to correctly time the entry/exit points in the market.
Author: Paitoon Wongsasutthikul
Publisher:
ISBN:
Category :
Languages : en
Pages : 224
Get Book Here
Book Description
This dissertation tackles the problem of non-normality in the distribution of returns and attempts to formulate a proprietary trading strategy to arbitrage the markets using appropriate statistical and mathematical tools. The first essay provides fundamental understanding to fractional Brownian motion (fBm) process, its characteristic Hurst exponent, and the concept of unit root in time series data. The study shows that a simple autoregressive (AR) process with suitable lag coefficients is able to effectively replicate the fractal time series and preserves its characteristic Hurst exponent. More interestingly, an equation that defines the relationship between the AR lag coefficients and the Hurst exponent that described a particular fBm process is also derived. The second essay introduces the concept of excursion measures and illustrates how the Itô's excursion theory can be used as a tool to understanding fractals. The excursionsvalued process is shown to follow a binomial distribution which is a robust substitute for Poisson distribution as suggested from the theory. The results also show that a process with low Hurst exponent or short-memory process has higher mean excursion measure at low excursion length as compared to a process with high Hurst exponent or a longmemory process. On the other hand, we see systematic wandering with longer excursion in a long-memory process with Hurst exponent higher than 0.5. Based on the discovery from the first two essays, the third essay combines these findings together to form a trading strategy called "Hurst Trading" with trading signals generated from the fluctuation in the dynamics of the Hurst exponent across time, among other indicators. We find that for the period between 2002 to 2011 the Hurst Trading strategy is able to outperform the traditional momentum strategy and the "Buy and Hold" strategy by a wide margin on stock trading in the DJIA Index, SPX Index, and R2500 Index. Furthermore, the more fractal the process is, the higher the chance that the Hurst Trading algorithm would be able to correctly time the entry/exit points in the market.
Author: Annick LESNE
Publisher: Springer Science & Business Media
ISBN: 364215123X
Category : Science
Languages : en
Pages : 406
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Book Description
During a century, from the Van der Waals mean field description (1874) of gases to the introduction of renormalization group (RG techniques 1970), thermodynamics and statistical physics were just unable to account for the incredible universality which was observed in numerous critical phenomena. The great success of RG techniques is not only to solve perfectly this challenge of critical behaviour in thermal transitions but to introduce extremely useful tools in a wide field of daily situations where a system exhibits scale invariance. The introduction of scaling, scale invariance and universality concepts has been a significant turn in modern physics and more generally in natural sciences. Since then, a new "physics of scaling laws and critical exponents", rooted in scaling approaches, allows quantitative descriptions of numerous phenomena, ranging from phase transitions to earthquakes, polymer conformations, heartbeat rhythm, diffusion, interface growth and roughening, DNA sequence, dynamical systems, chaos and turbulence. The chapters are jointly written by an experimentalist and a theorist. This book aims at a pedagogical overview, offering to the students and researchers a thorough conceptual background and a simple account of a wide range of applications. It presents a complete tour of both the formal advances and experimental results associated with the notion of scaling, in physics, chemistry and biology.
Author: Luís Barreira
Publisher: American Mathematical Society
ISBN: 1470470659
Category : Mathematics
Languages : en
Pages : 355
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Book Description
This book is the first comprehensive introduction to smooth ergodic theory. It consists of two parts: the first introduces the core of the theory and the second discusses more advanced topics. In particular, the book describes the general theory of Lyapunov exponents and its applications to the stability theory of differential equations, the concept of nonuniform hyperbolicity, stable manifold theory (with emphasis on absolute continuity of invariant foliations), and the ergodic theory of dynamical systems with nonzero Lyapunov exponents. A detailed description of all the basic examples of conservative systems with nonzero Lyapunov exponents, including the geodesic flows on compact surfaces of nonpositive curvature, is also presented. There are more than 80 exercises. The book is aimed at graduate students specializing in dynamical systems and ergodic theory as well as anyone who wishes to get a working knowledge of smooth ergodic theory and to learn how to use its tools. It can also be used as a source for special topics courses on nonuniform hyperbolicity. The only prerequisite for using this book is a basic knowledge of real analysis, measure theory, differential equations, and topology, although the necessary background definitions and results are provided. In this second edition, the authors improved the exposition and added more exercises to make the book even more student-oriented. They also added new material to bring the book more in line with the current research in dynamical systems.
Author: V. John Palicka
Publisher: McGraw Hill Professional
ISBN: 0071763104
Category : Business & Economics
Languages : en
Pages : 480
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Book Description
Question: What is the best way to make money on your investments? Answer: There is no one single quick answer. That’s why you need Fusion Analysis. One of the fastest-growing trends in investment today, fusion analysis combines the best of all possible strategies into one powerful, unified system. Based on the now-famous NYIF investment course taught by renowned portfolio manager V. John Palicka CFA CMT, this all-in-one guide shows you how to: Manage fundamental trends like gold investing and small-cap investing Master technical tools such as price forecasts and market data histories Recognize behavioral patterns like fear, greed, impulse, and sentiment Utilize quant systems to adapt, evolve, and balance your investments Whether you’re a hedge fund manager, a portfolio professional, or an individual investor, you’ll find a complete range of techniques that can work together for you. By combining the very best of all investment approaches, Palicka’s integrated system provides the perfect fusion of theory and practice. You’ll learn how to capitalize on the repeating nature of investment psychology—and avoid the emotional fallout that can rattle the market. You’ll learn how to strengthen and diversify your portfolio with strategic buys such as gold and other metals. You’ll learn how to identify future growth companies, evaluate real-estate opportunities, and evaluate your assets for the bigger picture. Once you fuse a strategy together, you can adjust your risks for the highest return possible. In today’s market, you need more than one strategy to grow your investments. You need the full-range potential of Fusion Analysis.
Author: Peter Tankov
Publisher: CRC Press
ISBN: 1135437947
Category : Business & Economics
Languages : en
Pages : 552
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Book Description
WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk management and option pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for nonspecialists to understand, and the mathematic
Author: Stuart A. Kauffman
Publisher: Oxford University Press
ISBN: 9780199826674
Category : Science
Languages : en
Pages : 734
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Book Description
Stuart Kauffman here presents a brilliant new paradigm for evolutionary biology, one that extends the basic concepts of Darwinian evolution to accommodate recent findings and perspectives from the fields of biology, physics, chemistry and mathematics. The book drives to the heart of the exciting debate on the origins of life and maintenance of order in complex biological systems. It focuses on the concept of self-organization: the spontaneous emergence of order that is widely observed throughout nature Kauffman argues that self-organization plays an important role in the Darwinian process of natural selection. Yet until now no systematic effort has been made to incorporate the concept of self-organization into evolutionary theory. The construction requirements which permit complex systems to adapt are poorly understood, as is the extent to which selection itself can yield systems able to adapt more successfully. This book explores these themes. It shows how complex systems, contrary to expectations, can spontaneously exhibit stunning degrees of order, and how this order, in turn, is essential for understanding the emergence and development of life on Earth. Topics include the new biotechnology of applied molecular evolution, with its important implications for developing new drugs and vaccines; the balance between order and chaos observed in many naturally occurring systems; new insights concerning the predictive power of statistical mechanics in biology; and other major issues. Indeed, the approaches investigated here may prove to be the new center around which biological science itself will evolve. The work is written for all those interested in the cutting edge of research in the life sciences.
Author: Benoit Mandelbrot
Publisher: Springer Science & Business Media
ISBN: 1475740174
Category : Mathematics
Languages : en
Pages : 321
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Book Description
Just 23 years ago Benoit Mandelbrot published his famous picture of the Mandelbrot set, but that picture has changed our view of the mathematical and physical universe. In this text, Mandelbrot offers 25 papers from the past 25 years, many related to the famous inkblot figure. Of historical interest are some early images of this fractal object produced with a crude dot-matrix printer. The text includes some items not previously published.
Author: Benoit Mandelbrot
Publisher: Echo Point Books & Media, LLC
ISBN: 9781648370410
Category :
Languages : en
Pages : 0
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Book Description
Written in a style that is accessible to a wide audience, The Fractal Geometry of Nature inspired popular interest in this emerging field. Mandelbrot's unique style, and rich illustrations will inspire readers of all backgrounds.
Author: B.S. Daya Sagar
Publisher: Springer
ISBN: 3319789996
Category : Science
Languages : en
Pages : 911
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Book Description
This Open Access handbook published at the IAMG's 50th anniversary, presents a compilation of invited path-breaking research contributions by award-winning geoscientists who have been instrumental in shaping the IAMG. It contains 45 chapters that are categorized broadly into five parts (i) theory, (ii) general applications, (iii) exploration and resource estimation, (iv) reviews, and (v) reminiscences covering related topics like mathematical geosciences, mathematical morphology, geostatistics, fractals and multifractals, spatial statistics, multipoint geostatistics, compositional data analysis, informatics, geocomputation, numerical methods, and chaos theory in the geosciences.
Author: Charles D. Kirkpatrick II
Publisher: FT Press
ISBN: 0132599627
Category : Business & Economics
Languages : en
Pages : 700
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Book Description
Already the field's most comprehensive, reliable, and objective guidebook, Technical Analysis: The Complete Resource for Financial Market Technicians, Second Edition has been thoroughly updated to reflect the field's latest advances. Selected by the Market Technicians Association as the official companion to its prestigious Chartered Market Technician (CMT) program, this book systematically explains the theory of technical analysis, presenting academic evidence both for and against it. Using hundreds of fully updated illustrations, the authors explain the analysis of both markets and individual issues, and present complete investment systems and portfolio management plans. They present authoritative, up-to-date coverage of tested sentiment, momentum indicators, seasonal affects, flow of funds, testing systems, risk mitigation strategies, and many other topics. This edition thoroughly covers the latest advances in pattern recognition, market analysis, and systems management. The authors introduce new confidence tests; cover increasingly popular methods such as Kagi, Renko, Kase, Ichimoku, Clouds, and DeMark indicators; present innovations in exit stops, portfolio selection, and testing; and discuss the implications of behavioral bias for technical analysis. They also reassess old formulas and methods, such as intermarket relationships, identifying pitfalls that emerged during the recent market decline. For traders, researchers, and serious investors alike, this is the definitive book on technical analysis.
