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Fractal Finance: (Multi)Fractality in the FX Markets

  • #21
  • Aug 9, 2018 9:56am Aug 9, 2018 9:56am
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  • #22
  • Aug 9, 2018 9:56am Aug 9, 2018 9:56am
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  • #23
  • Aug 9, 2018 9:56am Aug 9, 2018 9:56am
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  • #24
  • Aug 9, 2018 9:57am Aug 9, 2018 9:57am
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  • #25
  • Aug 9, 2018 9:58am Aug 9, 2018 9:58am
Benoit Mandelbrot and Nassim Taleb are two of my heroes.


If they just knew about the clear manipulation..................they would immediately understand a lot.....


Who knows.........maybe one day I get a chance to talk to Taleb again..............


FF
www.sme-fx.com
  • #26
  • Aug 9, 2018 10:00am Aug 9, 2018 10:00am
This talk is a masterpiece:

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  • #27
  • Aug 9, 2018 10:03am Aug 9, 2018 10:03am
Just for your orientation:


Mandelbrot: Created mathematical models for ALTERNATIVE price ANALYSIS (incorporating fractality, order in chaos, non-linearity etc.).

Taleb: Focuses on HOW TO RESPOND to living in a fractal world (i.e. how GOVERNMENTS, REGULATORS, BANKS, SOCIETY should be ANTI-FRAGILE).

Me: Focuses on WHY prices move and how they will move next (perspective of an active FX short-term trader, precise exposing of actual market manipulation MECHANICS).


These are all different things.

If you never heard about all this, GO AND READ NOW!

FF
www.sme-fx.com
  • #28
  • Aug 9, 2018 10:05am Aug 9, 2018 10:05am
Do NOT mix that up.
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  • #29
  • Aug 9, 2018 10:13am Aug 9, 2018 10:13am
Here Taleb's outline:

http://www.fooledbyrandomness.com/
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  • #30
  • Aug 9, 2018 10:13am Aug 9, 2018 10:13am
Wait until mine is coming.

;-)

FF
www.sme-fx.com
  • #31
  • Aug 9, 2018 10:16am Aug 9, 2018 10:16am
Quoting FractalFreak
Just for your orientation: Mandelbrot: Created mathematical models for ALTERNATIVE price ANALYSIS (incorporating fractality, order in chaos, non-linearity etc.). Taleb: Focuses on HOW TO RESPOND to living in a fractal world (i.e. how GOVERNMENTS, REGULATORS, BANKS, SOCIETY should be ANTI-FRAGILE). Me: Focuses on WHY prices move and how they will move next (perspective of an active FX short-term trader, precise exposing of actual market manipulation MECHANICS). These are all different things. If you never heard about all this, GO AND READ NOW! FF...
Thanks man. I will most definitely read everything shared here. I will browse thru the academics stuff as I am more interested in the practical implementation of their research and it's applicability to financial markets....i.e. the route that I have taken these past several years.
Staying in my lane...
  • #32
  • Edited 10:51am Aug 9, 2018 10:38am | Edited 10:51am
Attached Image
Bottomless wonders spring from simple rules, which are repeated without end
  • #33
  • Aug 9, 2018 12:51pm Aug 9, 2018 12:51pm
Quoting limprobable
{image}
I have tried to create a visual like this for my trend signatures but it is very hard to do with a "moving" and living orgasmic data series....plus one has to fixate on the subsets meaning, a dog can only catch his tail when he stop moving/rotating if you understand what I mean. I am trying to instill this in a lot of folks and many are just not getting it why I hate variabilities :-(

Edit: I would humbly request you to unsubscribe from me please (or I will ignore and un-ignore you). Subscriptions limits one growth potential...I am against it and I can only ask others to do the same.
Staying in my lane...
  • #34
  • Aug 9, 2018 1:27pm Aug 9, 2018 1:27pm
Quoting FractalFreak
Any active FX trader will prefer the other thread which exposes the live market manipulation (DM vs SM). Here is how Mandelbrot / Taleb approached markets WITHOUT HAVING that specific manipulation knowledge: They did PURE, STATISTICAL analysis, looking at HOW prices behave / move. So in other words, they took massive data sets of prices (by the way, mostly on HIGHER TFs....they consider lower TFs "noise"). Then they used mathematics to model / describe / characterize the GENERAL behaviour of the prices.

In my automation journey, I have ruled out statistical analysis/modeling as a foundational basis for Strategy Development... would you Agree?

In all the tools you have developed or use in your analysis and screenshots, have you incorporated (or implemented) Mandelbrot's work? I know you don't want to share your work or details on meta levels..... just a Yes or No is enough. If Yes, I noticed you use MT4 in one of your videos. Is MT4 capable of handing so many recursiveness? Care to share how many levels deep you have gone?

I will share my stats (all in MQ4) using a 8-core 16GB platform writing stuff to a CSV file (pretty rudimentary)

  1. For one month data across 28 FX pairs and 32 layers of recursive loops, processing time took over 32hours to generate all my bi-directional trend historical trade signals (without any filters and I now use in my automation)
  2. Same for 72 pairs, it took 2 days
  3. With one year of data, it takes more than a week of non-stop processing across 28 pairs. the number crunching is incredible and that is why my EA cannot be backtested

Staying in my lane...
  • #35
  • Aug 10, 2018 2:18am Aug 10, 2018 2:18am
Quoting VEEFX
{quote} have you incorporated (or implemented) Mandelbrot's work?
Mandelbrot was, among other things, a mathematician at IBM. Mandelbrot himself says that what he's doing is unusable for making portfolio management for an individual.
Bottomless wonders spring from simple rules, which are repeated without end
  • #36
  • Aug 10, 2018 9:04am Aug 10, 2018 9:04am
Quoting limprobable
{quote} Mandelbrot was, among other things, a mathematician at IBM. Mandelbrot himself says that what he's doing is unusable for making portfolio management for an individual.
yeah... but I am glad I did not run into him prior to my research journey as my approach is still quite unique (atleast I want to think it that way :-)

Acadamics have turned me off throughout my life except one professor at my post graduate university. That dude could talk for hours about any topic. We had a special connection and I learnt a lot from his curiosity. Two months into my college, one fine evening we were talking about energy transportation and one thing led to another and we ended up walking to his computer lab to rip the entire 24 terminal mid-range computer inside out. It was the most nerve wrecking and exciting experience which went on throughout the night. HE was brilliant and so down to earth that night but on surface, he appeared a arrogant d*ck in his classroom. I recall in his very first class, he ridiculed the entire classroom claiming "none of us deserve to be in his class" or some shit like that lol.

Quoting FractalFreak
Just for your orientation: Mandelbrot: Created mathematical models for ALTERNATIVE price ANALYSIS (incorporating fractality, order in chaos, non-linearity etc.). Taleb: Focuses on HOW TO RESPOND to living in a fractal world (i.e. how GOVERNMENTS, REGULATORS, BANKS, SOCIETY should be ANTI-FRAGILE). Me: Focuses on WHY prices move and how they will move next (perspective of an active FX short-term trader, precise exposing of actual market manipulation MECHANICS). These are all different things. If you never heard about all this, GO AND READ NOW! FF...

Finished all the videos... fabulous! Could you please share more on "order in chaos" or "Chaos Theory" related materials. This is helping me tremendously. Did Mandelbrot do any work with IBM in iteratively "Zooming out".. meaning, reverse-engineer his own set to build/create something bigger as a way to prove his own theiry (i.e. during this research with IBM)

We all talk about MTF via top down approach using charts but the meat is in bottom-up approach imo (CrucialPoint also agrees with this approach) as there is always a tick that initiates the trend (i.e. diversion from mean or reversion to mean). Hope I am making sense when I say market is always trending :-)

Quoting limprobable
{quote} Mandelbrot was, among other things, a mathematician at IBM. Mandelbrot himself says that what he's doing is unusable for making portfolio management for an individual.
I think portfolio mgmt/optimization/asset allocation/etc modelling is a bit overrated. They work only in theory or require immense computing infrastructure... not suitable for us retail traders. They are all good for publishing in research journals and win nobel prize :-
Staying in my lane...
  • #37
  • Edited 4:28am Aug 16, 2018 3:55am | Edited 4:28am
Quoting FractalFreak
Just for your orientation: Mandelbrot: Created mathematical models for ALTERNATIVE price ANALYSIS (incorporating fractality, order in chaos, non-linearity etc.). Taleb: Focuses on HOW TO RESPOND to living in a fractal world (i.e. how GOVERNMENTS, REGULATORS, BANKS, SOCIETY should be ANTI-FRAGILE). Me: Focuses on WHY prices move and how they will move next (perspective of an active FX short-term trader, precise exposing of actual market manipulation MECHANICS). These are all different things. If you never heard about all this, GO AND READ NOW! FF...
Hello FF,

Mandelbrot: Created mathematical models for price ANALYSIS = SCIENCE : very usefull for traders. He does not give a trading method but explains the structuring of markets, HOW markets move. If you understand this, you have understood a very important part of trading and you can use it to establish your own method. All his works is avalaible and you can find everything too prove what he said.

Taleb : Focuses on HOW TO RESPOND to living in a fractal world: No Use for Traders (if i dared to say it, Taleb is a sort of recuperator = some people adhere, others not, but these writings are not scientific).

You: (I am embarrassed to compare a scientist like Mandelbrot with you, but it seems like you are putting yourself on a higher level!). You say you know the WHY. This is not SCIENCE but interpretation. The whole theory you rely on is not accessible.

I saw the video in which you talk about Mandelbrot. It is very far from having taught me something, and from having convinced me.

So, traders, if you need a silver spoon, choose well your camp:
- SCIENCE (how markets moves) with all the evidence in his books.
- INTERPRETATION of one trader (why markets moves according to him) without having access to the very basis of his theory.

Imagine two seconds if Mandelbrot had come to prove his theory on fractals on FF with just videos and chart without providing the basis of his calculations?

I do not say that there is nothing to be gained from your writing. I do not have a definitive opinion.

But you are right on one thing, and that's why i am here, a thread talking about Mandelbrot fractals, could be the most important thread in FF. Traders can learn a lots here from Mandelbrot. But we need to work a lot. Thats probably why no one is here (we are just 3, you VeeFX and me lol), news traders waiting for messiah, not to find themselves the answer.

Green pips
Bottomless wonders spring from simple rules, which are repeated without end
  • #38
  • Aug 16, 2018 4:07am Aug 16, 2018 4:07am
"FF with just videos and chart without providing the basis of his calculations"


Regarding Mandelbrot, I personally believe that the "knowledge" he has presented CAN be useful in trading, however this rather indirectly.
He was a scientist and did not work on any trading methods per se.

Regarding Taleb, you are wrong, he has many academic papers out there as well as his book "Dynamic Hedging".
"Black Swan" was just a "pop science" book he wrote in addition for the general public.

Regarding me (and again, I certainly CANNOT place myself on the same level as these big names above!!),

bro,
I consider myself still young and still in the first half of my career,
so wait what is coming from my side.
I just got started.

;-)

FF
www.sme-fx.com
  • #39
  • Sep 28, 2018 4:34am Sep 28, 2018 4:34am
Discussions usually come with questions, without which ideas just scatter. So what are you working on in terms of FD? I've got some projects that used FD.
No Highs? No Lows? Must be Bose!
  • #40
  • Nov 22, 2018 9:31am Nov 22, 2018 9:31am
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