Instantaneous Acceleration

[zdo 20]

Without the inclusion of mass (M) in the formula ( because best I can tell the instruments traded have no mass ) - what are the best measures of instantaneous acceleration of price (or derived trading information) ?

 

( and I swear, Tams, if you ask for a picture, I will blow you up with a smilie )

 

Thanks.

[Tams 20]

without the inclusion of mass (m) in the formula ( because best i can tell the instruments traded have no mass ) - what are the best measures of instantaneous acceleration of price (or derived trading information) ?

 

( and i swear, tams, if you ask for a picture, i will blow you up with a smilie )

 

thanks.

 

.......... .......... Lol

[Tams 20]

maybe I can offer you one of my pictures?

 

[BlowFish 10]

velocity is change in price/change in time

acceleration is change in velocity/change in time

 

I guess tick to tick measurements would yield closest to instantaneous. You might mess with volume as a measure of mass perhaps? I don't think you need mass unless you are looking at energy or force?

[zdo 20]

Thanks Tams. Going to explain at all?

 

Basically the question is, anyone got something beyond

a = (v - v(0) ) / t

?

 

Closely related questions - alternatives to scalar and vector velocity, etc for 'bar' charts?

[Tams 20]

some thoughts to explore:

 

if you get a MA3 to minus a MA5... you will get some reaction.

 

if you get a XMA5 to minus a MA5... you will get some reaction too...

[BlowFish 10]

Why do you want something beyond a =v - v(-1) / delta t? That is the acceleration. As delta t approaches zero average acceleration approaches instantaneous acceleration. As you are using discrete intervals (ticks) that's as good as it can ever get the acceleration tick to tick.

 

Not sure what software you are using and whether it has the necessary time resolution?

 

Oh and the difference between v and v (scalar and vector representations) also tend to disappear as the distance approaches zero.

 

Maybe I am missing something?

Edited April 6, 2010 by BlowFish

[maxima 10]

the problem is that pulling similar threads from the big clue doesnt really help to make it neat

 

because markets are not analogue. between trades there are no time no space no nothing as some would say

 

acceleration on discretional process then will be bunch of differential equations with d2x/dt which has no precise solution..

 

you are 10000000000000001st who tries to apply elementary school knowledge on markets...

 

good luck

 

p.s. ask Urma - he is an old far... erm ... quant here..

 

p.p.s. every time I log in to this forum I remember urma. and almost always I remember next to it - the character from Little Britain - Daffyd - the only gay in the village. then I have very happy few minutes laughing... "only" is the keyword.. thank you old clown.

[BlowFish 10]

One more thing occurred to me after I turned the computer off last night. As price is one dimensional, vector and scalar representations will be identical.

 

@maxima price changes are discrete sure, but there are more than enough of them to calculate acceleration. In fact in many applications (signal processing for example) the first step is to convert a continuous series into a discrete one (sampling)!

 

The issue is not calculating acceleration (that's pretty trivial) it is using that metric to make useful trading decisions! Acceleration will absolutely jump all over the place as the market ebbs and flows so you will probably want to rersample and/or do some sort of pre or post processing to smooth it.

 

Taking Tams idea a stage further comparing two different period momentum indicators might yield interesting results and jives better with acceleration being a second order measure.

[UrmaBlume 10]

Without the inclusion of mass (M) in the formula ( because best I can tell the instruments traded have no mass ) - what are the best measures of instantaneous acceleration of price (or derived trading information) ?

 

( and I swear, Tams, if you ask for a picture, I will blow you up with a smilie )

 

Thanks.

 

Without Mass there can be no acceleration because there is nothing to accelerate.

 

In this case The Mass is the Margin - How efficiently a large money stake accelerates is indeed an indication of the condition/balance of the market.

 

No mass in the financial markets? - lol. If there is no mass in the markets, how is it that they have such effect/impact?

 

 

cheers

 

UrmaBlume

Edited April 7, 2010 by UrmaBlume

[zdo 20]

Thanks all for giving this some thought.

 

“Why do you want something beyond a =v - v(-1) / delta t?”

Good question. My most recent Acceleration questions are sorta like 'is that all there is'?

 

I personally can only safely transfer a limited set of physical measure formula over to market dynamics. For example: across time I gave the market’s ‘mass’ analogue its due and operationally see UB’s “effect” part but can find no direct “impact” at all – so I suspended looking for how “leverage” or “volume” or whatever is an equivalent, approximation, metaphor, or whatever… As others have alluded – the ‘time and space’ of the market movements is not precisely the same ‘time and space’ of physical object movements.

 

Back to acceleration - many objects (and even processes) where acceleration calcs are needed do not step up, step back down, step up, stay the same, step up etc etc like price does in ‘auctions’. A car, boat, projectile, bird, even a ‘hovering’ insect – whatever, directly goes forward to a different place in space. I have developed some fairly useful (to me) indications related to ”v - v(-1) / delta t” . But when it came time to take it to the next level something whoa’d up and asked “am I even asking the right questions?”.

One part of this is asking ppl who are smarter than me in these areas.

 

Blowfish, I pretty sure you’re not really “missing something” . Practically, the question is about the ‘differences’ between ‘acceleration’ when price is actually going to a different level and when it is just ‘accelerating’ quite nicely but in a 0,1,2, etc tick range. Sorta like Tams ideas, sensitive measures of the acceleration of displacement ?? etc…

 

Any thoughts and contributions appreciated.

[UrmaBlume 10]

 

For example: across time I gave the market’s ‘mass’ analogue its due and operationally see UB’s “effect” part but can find no direct “impact” at all – .......

 

Some can see a very direct impact from accelerating markets.

 

Certainly there was an impact felt around the world from the downward acceleration we saw in the equity markets just over a year ago.

 

Further evidence of mass is that the impact is greater the greater the acceleration.

 

The mass is the money/equity/resource that each share/contract represents.

 

 

cheers

 

UrmaBlume

[andypap 10]

excuse me for intercepting this discussion

 

what about the most forgotten principle evaluated these days that

price is orbiting arround the present consesus of value..

 

if that is true whitch i think it is the only mass is volume deposited as a concrete foundation arround value with little or no fluctuation at all

 

the rest of the activity no matter how intense it might look is nothing but a passing storm...

 

and another thought to exchange opinions

 

what is closer to the nature of the markets

math and physics or plain linear geometry

 

regards

[Kiwi 16]

:haha: Without Mass there can be no acceleration because there is nothing to accelerate.

 

 

Complete and utter ********.

 

Acceleration = (Velocityf - Velocityt) / Time

 

No mass required. Force = mass * acceleration .... thanks to maxima ... I can see Daffyd getting that wrong too.

 

 

More seriously, for the OP, the poster who sarcastically suggested that this is applying elementary school ideas to the market is somewhat correct. Most try an acceleration measure (second derivative of distance wrt time or price wrt time in this case) at some point and discard it. Extremes (absolute or relative) of velocity and position seem to be more effective in the end and good trading is rarely complicated.

[maxima 10]

yay! finally Kiwi agreed with me on something!

[zdo 20]

what is closer to the nature of the markets

math and physics or plain linear geometry

 

Even though the OP was a code / algo question, those are interesting questions (... and thankfully I don't know the answer(s) )

Maybe start a topic in more general areas and someone who knows can explain.

 

The best way to kill a thread is to never start it.

The second best way is to post on topic

A third and rarely used way is to post off topic

[zdo 20]

More seriously, for the OP, the poster who sarcastically suggested that this is applying elementary school ideas to the market is somewhat correct. Most try an acceleration measure (second derivative of distance wrt time or price wrt time in this case) at some point and discard it. Extremes (absolute or relative) of velocity and position seem to be more effective in the end and good trading is rarely complicated.

 

Yes - re second derivative

re velocity I have basically same issues with velocity as I have with stock acceleration measures. Central tendencies may move without flitting about, but price doesn't...

So a twist on the question - does anyone have algo's for 'vibratory rate' that are applicable to raw price?

[BlowFish 10]

You could look at Ehlers work. A lot of his stuff is about splitting the cyclical component from the non stationary. He seems to use the same technique for that in most (all?) of his work. The Hillbert transform. You should be able to find code in TS to do this.

[BlowFish 10]

Worth re-iterating the problem is not that it is an elementary school technique but that velocity will swing wildly (as much as the extents of its limits) tick to tick.

[zdo 20]

Thanks, Blowfish.

I do use both Ehler's modified and Hilbert - but only as indications to lengthen or shorten cycle duration projections (a la JMHurst type variations on nominality, etc ).

But, so far for the 'acceleration of vibratory rate' questions of this thread, neither of those is sufficiently granular or 'instantaneious' at any timeframe .

[zdo 20]

Worth re-iterating the problem is not that it is an elementary school technique but that velocity will swing wildly (as much as the extents of its limits) tick to tick.

 

If you have time, could you please elaborate a bit. Thanks.

[BlowFish 10]

Long time since I read Ehlers (first) book but I seem to recall he puts arbitrary smoothing into the mix in a couple of place. This may well be why.

 

Volatility ,even at the tick level, (some might say especially at the tick level) changes very rapidly. I think it will always be a trade off between pre and post processing to smooth this a little with loosing what you want to see. (though I am not completely sure exactly what you want to see or perhaps more importantly why you want to see it).

 

This kind of leads to the 'velocity will change rapidly' statement I made if you get several seconds between a couple of ticks the velocity will be pretty low in it's potential range. Actually if they are at the same price I think the velocity will be zero, right? Then you get a tick very close maybe a few milliseconds ticking up. You are dividing by a very small number ,ms, (twice). The velocity will shoot up to the top of its range in fact you will probably want to handle a divide by zero there (2 ticks the same time stamp) which would give infinite velocity!!

 

A good title for a paper Zero to Infinite Velocity in no Time Flat!