Catastrophe theory

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This is a cry from the soul in an ideological vacuum. My acquaintance with the theory of catastrophes ends with reading of scientifically popular brochures read 25 years ago i.e. practically 0. Question to superprofi, is there in this dense forest of knowledge, a path leading to a positive expectation. Well and as usual a kick in the right direction, if possible with references preferably at sausage level.
 

a couple of books... No more needed...

1. Bulashev S.V. Statistics for Traders.
2. Nassim Nicholas Taleb. Black Swan. Under the sign of unpredictability.

 
ivandurak:
This is a cry from the soul in an ideological vacuum. My acquaintance with the theory of catastrophes ends with reading of scientifically popular brochures read 25 years ago i.e. practically 0. Question to superprofi, is there in this dense forest of knowledge, a path leading to a positive expectation. Well and as usual a kick in the right direction, if possible with references preferably at sausage level.
How can all this help you trade profitably?
 
In case there is another one like me here is the link http://www.ph4s.ru/book_ph_haos.html
 
fozi:
How does all this help you trade profitably ?

So far only thoughts, no specifics. Suppose the normal state of the system is a flat (intentionally I do not define trend and flat so as not to get bogged down in flaming), suppose we learned how to predict the point when the system moves from one steady state to another, we set pending orders for breakthrough, before it breaks through, we choose a yacht from the catalogue.

A very striking example is trading on the news or breaking through a morning flat.

 
ivandurak:

So far only thoughts, no specifics. Suppose the normal state of the system is a flat (intentionally I do not define trend and flat so as not to get bogged down in flaming), suppose we learned how to predict the point when the system moves from one steady state to another, we set pending orders for breakthrough, before it breaks through, we choose a yacht from the catalogue.

A very striking example is trading on the news or breaking a morning flat.


What a strange "normal condition" you have. It makes more sense to start from the assumption that the normal state of the system is 50/50 or just SB. Down skew is a flat, up skew is a trend.
 
ivandurak:
This is a cry from the soul in an ideological vacuum. My acquaintance with the theory of catastrophes ends with reading of scientifically popular brochures read 25 years ago i.e. practically 0. Question to superprofi, is there in this dense forest of knowledge, a path leading to a positive expectation. Well and as usual a kick in the right direction, if possible with references preferably at sausage level.
Are you suggesting that the theory of catastrophes will help prevent a catastrophic drain on your depot?
 
C-4:

You have a strange 'normal condition'. It makes more sense to start from the assumption that the normal state of the system is 50/50 or just SB. Skew down is a flat, up is a trend.
In other words. Any points in time are equal, i.e. at any point in time with a 50% probability of seeing an elephant, a trend or a flat may start? Then how do candlesticks clearly fall outside 3 sigmas on the chart by their range, and what is the skewness especially how to calculate it. Or am I getting it all wrong again?
 
khorosh:
Are you suggesting that catastrophe theory will help prevent a catastrophic drain on your depot?

Probably a ticking impulse break of an established oscillatory flat state, could lead to the birth of a new avalanche-like trend.
 
C-4:

You have a strange 'normal condition'. It makes more sense to start from the assumption that the normal state of the system is 50/50 or just SB. Downward skew is a flat, upward skew is a trend.
In (as applied to Forex) 50\50 condition there is no case of "blonde" (either meeting or not meeting). From 50% (which is given for "winning") you have to subtract the level of knowledge of the User/Trader and his mentality. :)))
 
ivandurak:
In other words. Any points in time are equal, i.e. at any point in time there is a 50% chance of seeing an elephant in a trend or a flat? Then how come the candlesticks on the chart clearly fall outside the 3 sigma range, and what is the skewness especially how to calculate it. Or am I getting it all wrong again?


There is no three sigma in the market. The 3 sigma rule is true if the forming process has constant variance, or volatility in market terms. In the market volatility is volatile - it is characterised by periods of clustering. I.e. falling out of 3 sigma does not mean a trend, it could just mean an increase in volatility
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