The Market Climate

GLOBAL MARKETS REMAIN BULLISH

2011-01-03T07:35:00.001-05:00

The major global markets remain in bullish up-trends with market indexes holding above their 150 day moving averages. Investors appear to be climbing a “wall of worry” with most markets showing over reaction on down days, followed by reversals to the upside on the following day. The CAC40, FTSE and NIKKEI are the exceptions, showing trend persistence on the downside. In contrast, moderate upside

Reflexivity, Coherent Markets, and Financial Instability:

2010-12-12T13:47:00.001-05:00

Reconsidering Alternative Explanations for Departures from Generally Accepted Economic and Financial Theory J. Douglas Barrett Professor of Quantitative Methods and Chair Department of Economics and Finance University of North Alabama Florence, AL 35632 jdbarrett@una.edu Peter M. Williams Professor of Economics Department of Economics and Finance University of North Alabama Florence, AL 35632

Social Imitation Modell

2010-10-14T06:23:00.000-04:00

Social Imitation ModellUlf A. Hamster Erste Version: 23. März 2009, Aktuell: 14. Juni 2009 Zusammenfassung Das Ising Modell wird als Markov-Ketten Modell implementiert, was exogen über den Crowding- und Fundamentalverzerrungsparameter gesteuert werden kann, um eine bimodale Verteilung bezüglich der Kaufodere Verkaufsneigung der Agenten zu erzeugen. 1 Einleitung Coherent Market Hypothesis. Der

Global Markets Mostly Bullish

2010-09-15T06:10:00.000-04:00

The major global markets are primarily in an efficient state and, with the exception of the NIKKEI, trending higher. Historically this has been moderately bullish state. The table summarizes the current state of each major market index: MARKET: CAC40 BULL HANG SENG BULL NIKKEI BEAR FTSE BULL GLOBAL BULL S&P500 BULL DJIA BULL DAX BULL STRAITS BULL NASDAQ BULL

Alzheimer Random Walks and Market Bubbles?

2010-09-13T21:00:00.000-04:00

Analytic Formulation, Exact Solutions, and Generalizations of the Elephant and the Alzheimer Random WalksV. M. KenkreAn analytic formulation of memory-possessing random walks introduced recently [Cressoni et al., Phys. Rev. Lett. 98, 070603 (2007) and Sch\"utz and Trimper, Phys. Rev. E 70, 045101 (2004)] for Alzheimer behavior and related phenomena is provided along with exact solutions on the

Dow Industrials and S&P 500 in Disordered (Bearish) State

2010-06-27T22:56:00.000-04:00

Both the DJIA and the S&P 500 have a Quantitative Market State Index (QMSI™) values below -10% and price moving averages that are trending lower, meeting the criteria for a Disordered Market State. Historically the Disordered Market State has occurred in crisis periods where the flow of money or availability of credit has dried up and the market is unable to maintain

Quantitative Market State Indicator (QMSI™): Global Markets

2010-06-06T21:11:00.001-04:00

This post introduces the Quantitative Market State Indicator (QMSI™) for: 1.British FTSE 100; 2. French CAC 40; 3. German DAX; 4. NIKKEI 225; 5. Hang Seng; 6. Strait's Times; 7. S&P500; 8. DJIA; and 9. NASDAQ. The excess returns above the passive buy and hold strategy were evaluated based on a back test of a hypothetical trading strategy designed to assess market states with different risk and

NASDAQ: Short Term Chaotic Bear vs Long Term Coherent Bull

2010-05-02T21:29:00.000-04:00

The Quantitative Market State Indicator (QMSI) is currently slightly above 10% which is the threshold for trend persistent Coherent and Chaotic market states. Currently the NASDAQ Composite Index is well above its 150 day moving average so it remains in a long term Coherent Bull Market. However short term it is Chaotic after a daily price drop of -1% or more; it is also in a short term Efficient

NASDAQ now in coherent bull state

2010-03-28T23:01:00.000-04:00

The NASDAQ Quantitative Market State Indicator (QMSI) continues to fluctuate in the +10% area, the threshold between the Efficient Market State and the Coherent and Chaotic Market States. As of the close on March 26, 2010 we had a coherent trend persistent bull market state (as long as the NASDAQ index at 2397 remains above its 150 day moving average of 2184). Annualized volatility at 16% also is

NASDAQ COMPOSITE in Efficient Market State

2010-03-20T15:54:00.001-04:00

The Quantitative Market State Indicator (QMSI) dropped slightly below +10% which is an arbitrary boundary between efficient and coherent market states. Some of the key parameters that go into diagnosing the market state are currently: NASDAQ Composite Index: 2374NASDAQ 150 Day Moving Average: 2175 NASDAQ: Efficient Market State Quantitative Market State Indicator (QMSI): 9.7% QMSI Threshold

NASDAQ COMPOSITE in Coherent Bull Market State

2010-03-16T19:43:00.001-04:00

This post introduces a refinement of how we use the Quantitative Market State Indicator (QMSI). Its basic definition hasn't changed but we will use breaks above the 150 day moving average (MA) to provide a faster response to changing market conditions. We also introduce market volatility into the assessment and, with the benefit of hindsight, specify an annualized volatility for the NASDAQ

Quantitative Market State Indicator (QMSI): A Measure of Deviations From Efficient Market

2010-03-14T21:15:00.002-04:00

Our old friend the Bifurcation Parameter is out. Feedback has been that this didn't meet with any investor recognition in terms of either what it means or what it's good for. So the Quantitative Market State Indicator (QMSI) is the Bifurcation Parameter's new name. Same definition as before: 1. QMSI > 10% is either a Coherent Bull Market (if the market index is above its 150 day moving average)

NASDAQ Bifurcation Parameter Remains Above Moving Average

2010-03-13T13:29:00.002-05:00

The bifurcation parameter that we track as a measure of market efficiency is based on the 200 day sum of moderate positive conditional returns minus the 200 day sum of moderate negative conditional returns. Zero is an indication of an efficient market. Positive deviations from zero are associated with trend persistent markets while negative values are associated with mean regressive markets. As

NASDAQ COMPOSITE in Efficient Market State

2010-02-28T13:44:00.003-05:00

The NASDAQ is currently in an efficient state. On average there is neither over reaction (followed by mean regression) nor under reaction (followed by trend persistence) in the daily conditional return map. Trading this index is therefore unlikely to produce meaningful net returns after costs.

NASDAQ and Dow Industrials both in Efficient Market State

2009-12-19T18:27:00.008-05:00

The Market State Indicator (MSI) (previously, the Bifurcation Parameter) for the NASDAQ Composite Index dropped from the Trend Persistent State to the Efficient Market State. Positive values of this metric indicate trend persistence while negative values indicate mean regression. If the magnitude of this metric is small (< 10%) the market is deemed efficient, neither under reacting nor over

NASDAQ Remains in Trend Persistent State

2009-12-06T20:03:00.006-05:00

The Bifurcation Parameter (BP) for the NASDAQ Composite Index is the 200 day sum of positive conditional returns (after prior day returns in the interval 0.5%, 3.5%) minus negative conditional returns (after prior day returns in the interval -0.5%, -3.5%). Positive values of this metric indicate trend persistence while negative values indicate mean regression. If this metric is small it indicates

RELATIVISTIC QUANTUM ECONOPHYSICS – NEW PARADIGMS IN COMPLEX SYSTEMS MODELLING V. Saptsin and V. Soloviev

2009-10-14T20:04:00.002-04:00

"Econophysics, or physical economics, already mentioned as a relatively young scientific school, recently celebrated its tenth anniversary. Of course that doesn’t mean that there were no works on the boundary of economics and physics before the econophysics was officially born, howewer the new direction is usually formed only when the certain conditions appear and the necessity to concentrate the

NASDAQ Now in Trend Persistent State

2009-10-09T17:35:00.007-04:00

The NASDAQ Composite Bifurcation Parameter (BP), shown in Figure 1, jumped quickly through the Efficient Market State into the Trend Persistent State. This is where market agents under-react to news and moderate positive returns are followed on average by further positive returns while moderate negative returns are followed on average by further negative returns. Figure 1. The NASDAQ Composite BP

DOW INDUSTRIALS BECOMING MORE EFFICIENT

2009-09-20T10:57:00.009-04:00

The basic phase transition model of market returns presumes that the financial markets are open systems in which an adequate flow of energy (money or credit) creates a transition from a disordered state to more ordered or coherent bull and bear market states. In order to assess which state the market is in we first construct a conditional return map. We then assess a bifurcation parameter (BP)

Bubble Hunter

2009-09-08T12:59:00.005-04:00

Click on the title to visit the Bubble Hunter Blog, written by:PIOTR CHWIEJCZAKI am 33. I graduated from Warsaw University Economist Department in 1996 (M.A.). I spent few years working in several banks as economist/strategist. I was also working as a economic advisor to official bodies Poland and outside Poland. In year 2003/2004 I spent 9 months in Iraq where I was working as advisor to the

Shanghai Bubble Bursts

2009-09-01T12:25:00.003-04:00

According to New Scientist:"WITH 20/20 hindsight, financial crashes seem inevitable, yet we never see them coming. Now a team of physicists and financiers have bucked the trend by successfully predicting a steep fall in the Shanghai Stock Exchange.Their model, which employs concepts from the physics of complex atomic systems, was developed by Didier Sornette of the Financial Crisis Observatory in

Are the Financial Markets Becoming More Efficient?

2009-08-13T18:20:00.014-04:00

With the advent of negotiated commissions in 1975 and growing use of increasingly powerful computer based trading systems, the markets appear to be increasingly efficient. One way to measure market efficiency is by examining conditional returns: if conditional returns are trend persistent, profits can be made by betting with the trend; if conditional returns are mean regressive, profits can be

Dow Jones Industrials Remain in Over Reaction, Mean Regressive State

2009-08-12T05:16:00.006-04:00

The Bifurcation Parameter (BP) for the Dow Jones Industrial Average (DJIA) remains in negative territory at -38%. This market has been in an over reaction, mean regressive state that has often accompanied crisis markets. The BP is defined here.Figure 1 summarizes the DJIA BP dating back to the Crash of 1929. For most of this period the BP has been indicating a bifurcated market in which investor

NASDAQ Remains in Mean Regressive State

2009-08-09T13:10:00.006-04:00

The Bifurcation Parameter for the NASDAQ Composite Index slipped back to -22% over the past few weeks (white arrow on the chart). Figure 1 summarizes the average daily return expected from each of the four key market states expected from the Bifurcation Parameter (and prior day return, R(0)). NASDAQ Composite Index Returns for States Predicted by the NASDAQ Bifurcation Parameter (click on chart

NASDAQ Leading the Way Out of Crisis Conditions?

2009-07-19T14:08:00.004-04:00

Figure 1 summarizes the bifurcation parameter for the NASDAQ Composite Index. The bifurcation parameter has shown steady improvement and has now risen above the -10% threshold. This suggests that the worst of the mean regressive crisis market may be behind us. While the indicator could fluctuate around current levels and create whipsaw results, the big picture is that there has been steady