From: John Conover <john@email.johncon.com>
Subject: Re: Stock Price Modelling
Date: 25 Aug 1999 06:44:34 -0000
R. G. Boomers writes:
> Brownian motion, if I remember correctly, is essentially a
> random process. How could that possibly be of any use
> modeling stocks? Now, I am not saying stocks are not
> almost random, just that I do not understand how Brownian
> motion could be of any practical value. If you can explain
> it to me or refer me to a reference that can, perhaps I'll
> write the VBA. We would both benefit. To see a sample of
> what I can do in regards to original work in stock market
> analysis, click on the URL below. Thanks.
>
See:
http://www.johncon.com/ntropix/
where there is source code for a program that exploits fBm and near
fBm characteristics for stock selection. There are simulation
programs, and a fragment of the US ticker for comparison. The
documentation on the web pages should answer your questions.
Bear in mind that some people like entropic methodologies, and others
don't-its an epistemological issue. The issue is debated (ad nauseum,)
in sci.econ, where I usually hang out, (I was just taking a tour to
see what was happening in misc.invest.technical.)
John
--
John Conover, john@email.johncon.com, http://www.johncon.com/