Escalator Up Elevator Down: Asymmetry in Price Moves
In describing price moves we often hear the expression escalator up elevator down. But is it really true? We investigate.
Testing Price Series for Randomness
As part of an effort to investigate price regimes, I decided to try some simple tests of randomness in price series. In this first exercise, I simply look at the direction of price change from one period to the next and seek to identify if the frequency of up and down...Price Series Characterization: Regimes
Motivation:A trading system should have as few tuning parameters as possible: simple is better than complex. Simple systems work best when suited to the current price regime. If we can identify N price regimes, we can build N simple trading systems. If current price...Ian Rayner
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