Feb

1

With garagantuan formulaic trading bots manned with thousands of smart processors and up to 100 billions in management etc. in multitudes, are there advance warning signals (predictive signals) of moves emanating from different markets of similar nature with lags of few hours to few days?

This struck me hard again as a thought, when on Saturday I was discussing with a trader with large exposure to Kospi2 Futures that unless this contract hit a territory below a certain number on Monday I would urge that shorts be closed there. He fumed asking why should they not continue to slide, what with the massive down-day in Americas on Friday. I maintained that I would ignore all other things at this time like one should at all points in time and focus only on the price action in that pit.

It turned out, both of us were wrong.

He related an action in America as the cause while Korea was giving indications of a rise ahead. Driving by looking at the rear view mirror?

My mistakes are two-fold:

1) Not only I should have been conscious that potentially all markets are generating signals with leads or lags and focusing only on that price pit that is opening earliest is not correct.
2) America rose and Korea did not. Ha ha. Ever changing cycles!

Now to the main business of this post, for the list that is focused on finding testable ideas and testing them:

Can one not look at assembling series of hourly or some such appropriate intra-day price data for many markets from across the globe and arrange to see as the Sun moves from the East to the West if by varying the weightages of each market with the movement of the heavens if a combined global market price equation will provide some kind of logit / probit models that can explain intertwined market behaviours ?


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