SERVING THE QUANTITATIVE FINANCE COMMUNITY

Omar
Posts: 1552
Joined: August 27th, 2001, 12:17 pm

### Random walk and technical analysis: New Perspective

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Last edited by Omar on August 8th, 2003, 10:00 pm, edited 1 time in total.

N
Posts: 2808
Joined: May 9th, 2003, 8:26 pm

### Random walk and technical analysis: New Perspective

FishSauce,http://satyrican.tripod.com is a bunch of crap. It gives a bad name to TA.kr, Nonius - Keep trying to solve problems on a Stiefel manifold....N

N
Posts: 2808
Joined: May 9th, 2003, 8:26 pm

### Random walk and technical analysis: New Perspective

Omar,You seem like a great person but you need to polish your math skills a bit before commenting.Regards,Newton

Nonius
Posts: 5115
Joined: January 22nd, 2003, 6:48 am

### Random walk and technical analysis: New Perspective

QuoteOriginally posted by: NOmar,You seem like a great person but you need to polish your math skills a bit before commenting.Regards,Newtonyeah Omar, didn't you know that a covariance matrix isn't symmetric?

elan
Posts: 351
Joined: April 30th, 2003, 3:47 pm

### Random walk and technical analysis: New Perspective

QuoteOriginally posted by: Nonius<bryeah Omar, didn't you know that a covariance matrix isn't symmetric?Of course not. It's a Stiefel manifold.

N
Posts: 2808
Joined: May 9th, 2003, 8:26 pm

### Random walk and technical analysis: New Perspective

Of course not. It's a Stiefel manifold.Sh!t, elan. Stop giving hints to Omar.
Last edited by N on August 7th, 2003, 10:00 pm, edited 1 time in total.

elan
Posts: 351
Joined: April 30th, 2003, 3:47 pm

### Random walk and technical analysis: New Perspective

QuoteOriginally posted by: NOf course not. It's a Stiefel manifold.Sh!t, elan. Stop giving hints to Omar.Dude, just trying to keep people honest.

N
Posts: 2808
Joined: May 9th, 2003, 8:26 pm

### Random walk and technical analysis: New Perspective

elan,So what type of map would you use to get this stiefel sucker into something Nonius can work with?N

elan
Posts: 351
Joined: April 30th, 2003, 3:47 pm

### Random walk and technical analysis: New Perspective

QuoteOriginally posted by: Nelan,So what type of map would you use to get this stiefel sucker into something Nonius can work with?NGoing out for a session with my personal trainer. Maybe he has a good idea.

FishSauce
Topic Author
Posts: 72
Joined: June 7th, 2003, 11:06 pm

### Random walk and technical analysis: New Perspective

Out of curiosity: How many of you actually read the article? Be honest ...The article was not meant (I think) to be mathematically-challenging. Is it after all a financial newsletter and not a Quant newletter like wilmotts'.I just think it's interesting that he or she use simulation to test the profitabilty of technical analysis under a pure random walk state.I have been messing around with the excel file and the results are similar to the articles.For those who DIDNt read it: the thesis was that random walk proneness to trends might explain why TA works.(Which is logically considering the notion of spurious correlation due to trends). As the writer said "rudimentary" TA was used for simplicty sake.Just my two cents.
Last edited by FishSauce on August 7th, 2003, 10:00 pm, edited 1 time in total.

Johnny
Posts: 2431
Joined: October 18th, 2001, 3:26 pm

### Random walk and technical analysis: New Perspective

Here's a little financial maths quiz:The price X(t) of a tradeable asset follows a random walk such that at time t the expected value at time T E[X(T)|X(t)] = X(t) for all T > t.There exists a tradeable riskless asset whose price is B for all times t > 0.Show that the expected profit from any trading strategy involving only the asset and the riskless asset is zero.
Last edited by Johnny on August 7th, 2003, 10:00 pm, edited 1 time in total.

N
Posts: 2808
Joined: May 9th, 2003, 8:26 pm

### Random walk and technical analysis: New Perspective

fishsauce - I read it twice. It's still bs.Johnny - Can't be shown, unless you show it to math midgets.

matthewcroberts
Posts: 295
Joined: October 18th, 2001, 7:52 pm

### Random walk and technical analysis: New Perspective

Quotefishsauce - I read it twice. It's still bsI'm going w/ N on this one. Holy cow, that's entertainment!Fish, if you don't see the problems here, let me give you a few places to start:1) transactions costs2) statistical significance

Johnny
Posts: 2431
Joined: October 18th, 2001, 3:26 pm

### Random walk and technical analysis: New Perspective

"fishsauce - I read it twice. It's still bs."Newton I'll go with you on this one ..."Johnny - Can't be shown, unless you show it to math midgets."... but not this one. Of course it can be shown. And that's why the paper is bs.

N
Posts: 2808
Joined: May 9th, 2003, 8:26 pm

### Random walk and technical analysis: New Perspective

"Johnny - Can't be shown, unless you show it to math midgets."... but not this one. Of course it can be shown. And that's why the paper is bs.Johnny, Johnny - you were going so good there for a while.I'm afraid it can't be shown. It's only true for Wiener processes. Wiener processes can't have fat tails, ever, period, end of story.
Last edited by N on August 7th, 2003, 10:00 pm, edited 1 time in total.

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