chaos detector
Posted: Sat Jun 03, 2006 3:41 pm
Hello,
are there any quants/techs around who maybe know or have (or know where to get ) tools for filtering financial (tick!) data (best: in real-time) to determine if the actual structures are chaotic, noisy (different types of noise), deterministic... e.g. telling you the lyapunov exponent with not too many points for analysis...
Does anybody have experience f.e. with the "Chaos Toolkit" from Scientio (http://www.scientio.com/chaoskit.aspx)?
Unfort. I'm not an expert at all in these fields, but I guess this could be a very important piece of the "puzzle" - trading only in non-chaotic structures (I know there are many different definitions)... just one way to filter, others maybe use the equity curve in combination with technical indicators to decide if to trade the system(s) or not..
However, all hints/help/discussion concerning a "chaos detector" is highly appreciated!
Quantus
p.s.: I like the flow for a `proposed hybrid system modelĀ“ from Dr. Clarence Tan in his article "A Hybrid Financial Trading System Incorporating Chaos Theory.. ", page 6:
www.smartquant.com/references/NeuralNet ... ural29.pdf
are there any quants/techs around who maybe know or have (or know where to get ) tools for filtering financial (tick!) data (best: in real-time) to determine if the actual structures are chaotic, noisy (different types of noise), deterministic... e.g. telling you the lyapunov exponent with not too many points for analysis...
Does anybody have experience f.e. with the "Chaos Toolkit" from Scientio (http://www.scientio.com/chaoskit.aspx)?
Unfort. I'm not an expert at all in these fields, but I guess this could be a very important piece of the "puzzle" - trading only in non-chaotic structures (I know there are many different definitions)... just one way to filter, others maybe use the equity curve in combination with technical indicators to decide if to trade the system(s) or not..
However, all hints/help/discussion concerning a "chaos detector" is highly appreciated!
Quantus
p.s.: I like the flow for a `proposed hybrid system modelĀ“ from Dr. Clarence Tan in his article "A Hybrid Financial Trading System Incorporating Chaos Theory.. ", page 6:
www.smartquant.com/references/NeuralNet ... ural29.pdf