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visits member for 2 years, 4 months
seen Dec 12 at 6:23

Jul
16
comment Innovative ways of visualizing financial data
@vonjd -- Victor Neiderhoffer, developed a means of "playing" audio of market moves for his trading desk. I have a colleague, that creates audio files of fractal market structures. He can play an entire day's tick by tick volatility. It just provides a different way to experience the data. Such things, like the things this great question has evoked from the community, may can shift the way we think about things (notice a theme in my various comments across the sight?) and keep us fresh.
Jul
16
comment Tools/R code for predicting Dragon-Kings
Sornette has a book Why Stock Markets Crash: Critical Events in Complex Financial Systems. I've largely stood with Taleb's thinking on this for sometime, but looking at things like multi-fractals has begun to make me reconsider whether we may develop the ability to do this. (Taleb claims to have collaborated a with Mandelbrot in his last years to try to do some of this). Sornette seems like a sincere guy, just not convinced he's nailed it yet.
Jul
15
comment Multi Fractals Models
+1 - I have a similar side interest in these. I look at and compare different multi-fractal time-frames (if time-frame makes sense in this contact). They seem to capture something of the experience of market-time, an idea difficult to define, but anyone who has watched prices ticking long enough has a sense of it. I haven't quantified this yet, but I often see extreme volatility in fine (intraday) time-frames seem jump, like an electron jumps valences, to longer time-frames one or two weeks later. Just an observation now, but it has my curiosity.
Jul
14
comment So many volatility models. Any comparisons of them?
+1 -- I wish I had seen this sooner. Clear and thoughtful
Jul
13
comment Is there an API to perform request about stocks and financial derivatives?
Mathematica has lots of this built into their FinancialData[] function.
Jul
12
comment Meta-view of different time-series similarity measures?
Almost a year later and I find I keep coming back to your answer. Thanks again. I wish I could vote it up more.
Aug
15
comment Meta-view of different time-series similarity measures?
Thanks for the concise and clear structuring.
Aug
15
comment Meta-view of different time-series similarity measures?
@LazyCat -- Not certain what you mean or imply by "buzz words". Everything that I mention from correlation to entropy represent meaningful and frequently used methods of analysis. I hoped someone might know of some work from somewhere that began to think of these things as parts of something larger. Both science and mathematics often advance from someone recognizing or establishing such a differential perception. It would seem a useful thing if achievable. Neither does anything immediately come to mind that would preclude it. I feel quite comfortable letting the question stand.