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GrenvilleCroll
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Order and Disorder in Financial Time Series

November 23rd, 2013, 11:58 pm

Have some profitable fun!RegardsGrenville
 
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Traden4Alpha
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Order and Disorder in Financial Time Series

November 24th, 2013, 12:59 pm

Nice! You might enjoy exploring the binary series produced by various 1-D cellular automata.
 
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GrenvilleCroll
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Order and Disorder in Financial Time Series

December 14th, 2013, 6:01 pm

Thanks for the comments.A version of the paper, which includes some simple algebras of BiEntropy, is available from World Scientific:Scientific Essays in Honor of H Pierre Noyes on the Occasion of His 90th Birthday Edit:There are three distinct states of order and disorder in a finite binary string: periodic, nperiodic and aperiodic. These correspond to the {-1,0,1} states of a Clifford algebra. There is (therefore) a whole world of yet unexplored algebras relating to the order and disorder of finite binary strings. A BiEntropy of Projective Geometries and a BiEntropy of Graphs have already been suggested. Given the ease of transposition of a financial time series into bit strings, the relevance of these algebras in financial markets could be of interest.Since BiEntropy is orthogonal to variance, ie financial time series of similar variance could (ie do) exhibit markedly differing order/disorder, there may be a rational basis for updating Markovitz's work so that eg the efficient frontier is a surface. Presumably a rational investor would seek, for the same risk and return a more, rather than less, (dis)ordered financial return. (The QF result in my paper suggests which way round this result is).
Last edited by GrenvilleCroll on December 14th, 2013, 11:00 pm, edited 1 time in total.
 
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GrenvilleCroll
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Order and Disorder in Financial Time Series

April 25th, 2016, 6:15 pm

QuoteOriginally posted by: Traden4AlphaNice! You might enjoy exploring the binary series produced by various 1-D cellular automata.Good idea! But I got myself into knots instead.BiEntropy works there too - it splits the alternating and non-alternating knots of 9 and 10 crossings.Which suggests even wider possibilities.........You heard it here first.
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BiEntropy of Knots on the simple cubic lattice v2.07.zip
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