Comments on: Throwing A Fit http://www.tasgall.com/2007/07/27/throwing-a-fit/ Peering into the Cauldron of the Gods... Wed, 28 Sep 2011 10:20:57 +0000 hourly 1 http://wordpress.org/?v=3.3.1 By: Quicksilver http://www.tasgall.com/2007/07/27/throwing-a-fit/comment-page-1/#comment-386 Quicksilver Sun, 29 Jul 2007 00:25:45 +0000 http://www.tasgall.com/2007/07/27/throwing-a-fit/#comment-386 I should add that I've done these experiments not because I fully buy the approach laid out by Sornette but to play with a toy more than anything. Sornette's approach has many problems, not the least of which is the difficulty of fitting a model, the selectivity of the models for different markets and the lack of detrending the data. He has also flopped on many predictions since his book has been published. He also says that it's got a high failure rate even if he is right. This makes it more of a novelty than anything and provides some interesting theory that may yet be useful in the vast science of the markets. I should add that I’ve done these experiments not because I fully buy the approach laid out by Sornette but to play with a toy more than anything.

Sornette’s approach has many problems, not the least of which is the difficulty of fitting a model, the selectivity of the models for different markets and the lack of detrending the data. He has also flopped on many predictions since his book has been published. He also says that it’s got a high failure rate even if he is right. This makes it more of a novelty than anything and provides some interesting theory that may yet be useful in the vast science of the markets.

]]> By: Quicksilver http://www.tasgall.com/2007/07/27/throwing-a-fit/comment-page-1/#comment-385 Quicksilver Sat, 28 Jul 2007 20:52:57 +0000 http://www.tasgall.com/2007/07/27/throwing-a-fit/#comment-385 Yes, the focus of the examples in the book concerns 1928 and 1987. Also, discussed are the Nikkei anti-bubble, several emerging market crashes, currencies and the 1997 mini-crash. What I need to do however is test my code on those crashes to make sure mine works as expected. Yes, the focus of the examples in the book concerns 1928 and 1987. Also, discussed are the Nikkei anti-bubble, several emerging market crashes, currencies and the 1997 mini-crash.

What I need to do however is test my code on those crashes to make sure mine works as expected.

]]> By: Jason G. http://www.tasgall.com/2007/07/27/throwing-a-fit/comment-page-1/#comment-384 Jason G. Sat, 28 Jul 2007 19:29:42 +0000 http://www.tasgall.com/2007/07/27/throwing-a-fit/#comment-384 So, if you took the same code and ran it for the time period 1985 to 1987 before black Tuesday, would you see the model converge right before the crash? Historical data is <a href="http://finance.yahoo.com/q/hp?s=%5EGSPC" rel="nofollow">here</a>, in case you don't have data going back that far and want to try it out. I agree, today's market turmoil doesn't seem like it's the same as previous fragile moments. I'll probably write a post to explain my perspective on current events... So, if you took the same code and ran it for the time period 1985 to 1987 before black Tuesday, would you see the model converge right before the crash?

Historical data is here, in case you don’t have data going back that far and want to try it out.

I agree, today’s market turmoil doesn’t seem like it’s the same as previous fragile moments. I’ll probably write a post to explain my perspective on current events…

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