Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'fractal'

Book: The (mis)Behaviour of the Markets

May 12th, 2011 · 2 Comments · Books

When Benoit Mandelbrot passed away last year, I thought it would be nice to re-read his (mis)Behaviour of the Markets, to symbolically “pay tribute” to this visionary maverick. I really enjoyed the book first time round and it still reads very well. It is more of “vulgarisation” book, telling the story of how Mandelbrot developed […]

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Trading Regimes as Strategy Filters

April 12th, 2010 · 5 Comments · Strategies

Non-stationarity of the markets… That old chestnut! Everything would be so much easier (boring?) if markets were not changing all the time…   Non-Stationarity, is defined as a quality of a process in which the statistical parameters (probability distributions) of the process change with time. One of the consequences is that it might not make […]

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