Worlds first successful application of Complexity Theory to A Market. 2005 Paper: "Stock Market Endogenous Dynamic, 'Noise' and Crash Precursors". Unpublished to Protect IP. Its purpose was to apply SOC/Complexity theory in real time and see if it was possible to identify Crash Precursors to Six Sigma Volatility Events in the S&P 500. Successfully identified Crash Precursors prior to 2008 and 2020 Crashes, . PLEASE READ FIRST ENTRY 8/22/2005 FOR CONTEXT. NOT ADVICE.
Saturday, May 09, 2020
Thursday, January 03, 2019
2019 View from 30,000 feet above. CHINA CHINA CHINA
HIGHLY CONFIDENTIAL NOT TO BE SHARED EXCEPT BY PERMISSION OF AUTHOR
2019 View from 30,000 feet by ALPHAADDER. January 1st, 2019
CHINA CHINA CHINA AS IN FXI
The endogenous dynamic driving the markets currently as verified by current and previous Volatility Cluster originates from CHINA.
INFLECTION POINT: 2/13/19
INFLECTION POINT: 5/1/19
SUSCEPTIBLE TO EXOGENOUS EVENT: 9/2/19
NOW LETS LOOK AT USA S&P 500 IN ISOLATION BELOW
THE USA AND CHINA ARE IN LOCKSTEP. THE DATES ARE NEARLY THE SAME.
For context read first entry: "STOCK MARKET ENDOGENOUS DYNAMIC" 8/22/05 @ WWW.ALPHAADDER.BLOGSPOT.COM
Disclaimer: Comments are opinion; specific to systemic risk management, and are not investment advice.
Monday, August 27, 2018
Current Phase and Context S&P 500 from 30,000 feet above. Continuing the Wall of Worry, until,,,,,
Textbook Wall of Worry. You've already forgotten being worried during those dips, haven't you. |
As it stands now. Potential end of cycle contracting Mid 2020. Still.
Activity between now and then either confirms this, or sets up new timing. Importantly, either way, volatility remains auto-regressive until that time. Further setting in Anchoring Behavior, and a stronger and stronger feedback loop. Double Edged Sword.
I am reading more and more negative prognostications about impending doom. This is really healthy, and holds off the Six Sigma Event. Counterintuitive.
Further; The signals are NOT as well defined and clear as they were in 2007. This has direct bearing on the size and distribution of the future event. Signals in 2007 were terrifyingly clear. Not as much currently- A good thing.
Going forward. Volatility- Yes. Expected, and of a an expected degree, that will make you cringe, and question your resolve, but in the end, will be a continued Climbing of the Wall of Worry with stopping points in the graph above.
If I continue publishing, I will do it without the timing component you have seen here. It is a distinct competitive edge/advantage that I will no longer keep in any computer. I am applying solely within my proprietary trading going forward. If I continue to publish here, I will clarify Phase, and Context.
Current Phase/Context: Self Organizing towards Criticality, and will become Susceptible to an exogenous event causing a large Volatility Event in the intermediate future. We are nearing the end of this second record long market run. Enjoy the Runup to the end-DO NOT GET ATTACHED. DO NOT ANCHOR. BE AGILE. PROTECT YOUR BALANCE SHEET. DO NOT FOOL YOURSELF INTO THINKING YOU KNOW WHAT THE UNFORSEEN EVENT WILL BE, THAT TRIGGERS THE CASCADE.
Cheers!
Bob K
For context read first entry: "STOCK MARKET ENDOGENOUS DYNAMIC" 8/22/05 @ WWW.ALPHAADDER.BLOGSPOT.COM
Disclaimer: Comments are opinion; specific to systemic risk management, and are not investment advice.
Wednesday, June 27, 2018
The Hidden Hand of Contextual Temporal Value Systems, and Perceived Priorities
6/27/2018 Wall of Worry. Asset Prices Extended by many measures
Doesn't matter at this point, (for a while) Adam Smith's Hidden Hand
is in charge. Asset Prices are Temporal, Contextual and based on
Perceived Priorities-Review 8/22/05 Entry
People, AND NOW MACHINES, are being conditioned. Everybody is riding the predictable churn of autoregressive behavior by the market. As it always does, it will work, until it doesn't, Catostrophically. Of course, the other side of the coin is the old admonition to Short Sellers; That the market can stay irrational longer than you can stay solvent.
The dearth of liquidity is being caused by the increasing integration of A.I. into High Frequency Systems, and its corresponding increasing rapidity of stepping away from the market. This increases frequency of "Flash Crashes", from which we recover. My concern is what will happen the next time the System has again Self Organized to the point of Criticality, and is Susceptible to a Six Sigma Volatility event, and the Machine Firepower is potentially overwhelming combined with the normal endogenous phase transition forces.
Doesn't matter at this point, (for a while) Adam Smith's Hidden Hand
is in charge. Asset Prices are Temporal, Contextual and based on
Perceived Priorities-Review 8/22/05 Entry
People, AND NOW MACHINES, are being conditioned. Everybody is riding the predictable churn of autoregressive behavior by the market. As it always does, it will work, until it doesn't, Catostrophically. Of course, the other side of the coin is the old admonition to Short Sellers; That the market can stay irrational longer than you can stay solvent.
The dearth of liquidity is being caused by the increasing integration of A.I. into High Frequency Systems, and its corresponding increasing rapidity of stepping away from the market. This increases frequency of "Flash Crashes", from which we recover. My concern is what will happen the next time the System has again Self Organized to the point of Criticality, and is Susceptible to a Six Sigma Volatility event, and the Machine Firepower is potentially overwhelming combined with the normal endogenous phase transition forces.
For context read first entry: "STOCK MARKET ENDOGENOUS DYNAMIC" 8/22/05 @ WWW.ALPHAADDER.BLOGSPOT.COM
Disclaimer: Comments are opinion; specific to systemic risk management, and are not investment advice.
Saturday, June 02, 2018
Return to current Endogenous Dynamic Slope.
For context read first entry: "STOCK MARKET ENDOGENOUS DYNAMIC" 8/22/05 @ WWW.ALPHAADDER.BLOGSPOT.COM
Disclaimer: Comments are opinion; specific to systemic risk management, and are not investment advice.
Sunday, May 13, 2018
Effects of China Cluster End Done. Despite Stretched Valuations we return to "Crawling wall of Worry"
For context read first entry: "STOCK MARKET ENDOGENOUS DYNAMIC" 8/22/05 @ WWW.ALPHAADDER.BLOGSPOT.COM
Disclaimer: Comments are opinion; specific to systemic risk management, and are not investment advice.
Tuesday, April 10, 2018
China Dipped as predicted. Affected us as predicted. Change around 4/21
Right Again, which gives confirming info about future potential events. |
Told you 2016 what was going to happen in 2017, and in 17 for 18. Jan for rest of year.
Added China in January 2018, and told you in advance how it would affect the US in Febuary through May. (Halfway there)
For context read first entry: "STOCK MARKET ENDOGENOUS DYNAMIC" 8/22/05 @ WWW.ALPHAADDER.BLOGSPOT.COM
Disclaimer: Comments are opinion; specific to systemic risk management, and are not investment advice.
Wednesday, January 03, 2018
2018 View from 30,000 ft. Both China and USA
China end of Vol Cluster. 2/10 Susceptible to exogenous event. IF NO EXOGENOUS EVENT, THEN NO PHASE TRANSITION.
Close to our Inflection Point, not an ending point for us necessarily-a ways off.
Buy Vol shortly before 2/10 related to CHINA FXI (with greater than 30 day expiration to remove time decay risk.)
THE INFLECTION POINTS IN CHINA AND THE USA ARE DIFFERENT. THE INFLECTION POINT IN CHINA IS AN END OF VOLATILITY CLUSTER.
We have an inflection point around 4/21, but it is not an end of cluster point. It is a point, of a change of direction. If China starts to pull us down starting around 2/10, we will have a persistency to go down also until around 4/21, at which time there will be a change of direction/persistency to flat, and or up.
If accurate than it gives confirmation of when we will have a Six Sigma Volatility event in the future. I am keeping that to myself, for now.
For context read first entry: "STOCK MARKET ENDOGENOUS DYNAMIC" 8/22/05 @ WWW.ALPHAADDER.BLOGSPOT.COM
Disclaimer: Comments are opinion; specific to systemic risk management, and are not investment advice.
Monday, June 26, 2017
UPDATE: Moving up timetable. Inflection point is around 8/21
For context read first entry: "STOCK MARKET ENDOGENOUS DYNAMIC" 8/22/05 @ WWW.ALPHAADDER.BLOGSPOT.COM
Disclaimer: Comments are opinion; specific to systemic risk management, and are not investment advice.
Subscribe to:
Posts (Atom)