This is so excellent paper and probably so interesting to people reading this thread that I'll post it after a looong silence in this thread. Enjoy! 101 Formulaic Alphas Abstract: We present explicit formulas - that are also computer code - for 101 ...

Here is some really interesting research stuff from Bundesbank url

Can you please advertise your trading somewhere else, this thread is about discussion of market randomness, not your trading. Start a new thread where you can brag with your 2 months of trades.

And it's also important to remember that there are participants in the market who want to trigger the stop levels just to get commission for the stops.

That might be true in equities but not in fx (there is no book on fx) - also, with dark pools there is no real "level 3" in equities either anymore and even if there would be, hedge funds would not see it (there are rumours but that's it). Also, if ...

The thing with Osler paper is that what she's talking about is stop cascades, ie - placements of stops triggering cascades. And people (even the big players) will put their stops to psychological levels like above/below peaks, round numbers and so ...

You can't model the market based on simple probability density function. Hell, you can't even model the market with simple markov process (because of volatility clustering). If it would be that easy, trading volatiltiy options would be trivial. See ...

Read the Osler paper. When you understand it, it will be a true eye opener. Microstructure is the key to knowing shor term price movements and short term price movements will sometimes (with larger percentage than 50% that is) lead to larger price ...

Does the hypothesis hold really? For example here is one from Osler (I really like this one) url Here is a book that every random walk advocate should also read url

That was kind of my point, futures market has [limited] order book for fx.

You can use futures for estimating volumes to some extent or if you are looking for longer term picture (check COT report for some non-chart information *). Other than that there is no way to estimate flow as the fx is not centralized and FX is one ...

Quantum random generator isn't random either, photon particles give the numbers! Or thermal noise! Now we know what some quantum random generators are based on photons, can we predict the results?

Ensembles always work better than single estimators. There is a lot of research about different estimators but the problem always almost (especially eith trading IMHO) comes to how you build the feature set for your regressor/classifier. Here is a ...

By the way if someone is interested in more basic systematic stuff, here is some really excellent stuff url

This might be a wrong forum for this question but has anyone tried using restricted boltzmann machines to predict time series data? PM me if you don't want to post to thread.

What are you trying to say, that doesn't make any sense.

This is about amplifying noise in a complex markovian network (a stock market is one), so basically about volatility causing volatility without any external stimuli. What this means (IMHO! I haven't done the full research yet), you could model noise ...

I'm not sure how many people here will appreciate this link but here it comes.. It's kind of eye opener when you understand what the paper says. url

As you can see from your post, efficient market relies on multiple participants who find inefficiencies and exploit them. Unless all inefficiencies have been found (which is quite a bold claim) there are still inefficiencies that can be exploited. ...

Again a link, this is a must thing to know if you are interested in training any model url