Posted by
Phil Henshaw-2 on
URL: http://friam.383.s1.nabble.com/Overshoot-self-correction-to-collapse-in-the-S-P-500-Mar-Aug-07-tp524586p524605.html
I do take your point, but just because independent behaviors of emergent natural systems are not susceptible to deterministic analysis of the usual sort doesn't mean they're not observable, dangerous and generally predictable by other more general means, right?
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-----Original Message-----
From: "Marcus G. Daniels" <
[hidden email]>
Date: Sun, 26 Aug 2007 14:50:43
To:The Friday Morning Applied Complexity Coffee Group <friam at redfish.com>
Subject: Re: [FRIAM] Overshoot self-correction to collapse in the
S&P 500Mar-Aug 07
sy at synapse9.com wrote:
> Well, the counter example shows no systemicity at all, so perfectly well behaved. Markets are not supposd to display, as the example, emergent systemicity of any kind, let alone dramatic self-destructive behavior....
>
I suggest you get a time series trading dataset and state exactly what
you think the dynamic signature is and what you think it is caused by.
Then filter the data down to periods at and after a finite period after
those causes (e.g. news events), and look for the signature for a finite
period of time within which you posit the signature should occur. Do
the same for all other times and see how often the signature occurs,
taking care not to double count overlapping periods, which could easily
if you defined the signature to merely occur `someday'. You should see
enrichment of the signature to the cause. If you see it for both the
`caused' and `non-caused' periods, then all you have is a story.
Marcus
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