Anyone who came up with the equations to describe the fractal patterns we see on stock charts, is working for funds like Medallion. These papers won't ever be a part of the public domain. LOL.
Hi! Watched a couple of your videos on Fractals and Finance and found them to be really informative. As a Commerce graduate with a majors in Finance, I stumbled upon Fractals while reading some research articles for my proposal. was wondering if you could guide me to some resources, references or even some journal articles that would provide some insight to a person who is relatively new in the field of physics and fractals, since I am really keen on writing a research article relating to Fractals and its relationship with Finance during my Ph.D journey. Hope you keep uploading. Cheers and thanks!
Great comments! I think the key one would be to read Benoit Mandelbrot’s book The Misbehaviour of Markets as an introduction, then maybe look up some of his papers. I learned about fractals and multifractals from studying geophysics, and a lot of the work in the literature is on applying fractals in that context. There is a Journal of Econophysics which might be worth looking through for useful papers. I found in the past that there weren’t any really good papers or books that explained this subject well as a whole (that might have changed), and most the papers were focused on esoteric aspects of the theory. I found it best to learn from other people who understood it well and could explain it. One such person who explained this in terms of financial markets was Peter Richmond from Trinity College in Ireland, but I don’t know if he wrote any papers explaining the subject holistically. Even financial professionals tend to just use methods that help take into account some of the “misbehaviour” of markets, but don’t really understand the fractal theory that this comes from. That’s actually one reason why I thought it would be good to make some videos on this subject, to help get the message out there about fractals, and I’m definitely planning to make some more videos at some point! :)
@@DrMichaelLauren Completely agree with all the points that you’ve laid out, I as well didn’t quite get any strong papers or books pertaining to this subject. I’ll definitely look out for Prof. Peter Richmond on this context but at the same time will wait for your videos as well since no one seems to be touching on this subject on this platform as of now.
Do you know anything about Langevin dynamics - dynamical systems whose equations contain a random component, but still end up forming an attracting set? Do you see any utility in finance for these sorts of equations?
what is a fractal market on a higher timeframe? if for example the market is in an uptrend direction ,does it mean that on a lower timeframe such as 1-minute, or or in micro time frame still the that is the same in an uptrend direction as an overall direction as a whole that the lower timeframe submitted to an uptrend direction because on a higher time timeframe is it is bullish trend. is it correct?
So the market is a nonlinear intertemporal statistically self-similar stochastic PDE with 10000s of variables, half of which probably follow some alpha-stable distribution which isn't even analytically expressible! So much for get rich quick schemes
I understood most of it , yay :)) what comes to my mind is that having absolute knowledge over market's every move might need an understanding of all of this complexity ... but you could simplify all of this with some dumb heuristic (e.g. buy when up ... sell when down) and if it works better than chance , you make money! effectively, you have reduced all the complexity into a binary : will the TP be reached before the SL ... I can't speak with certainty cause I'm not profitable ( yet 😂😢) , but I suspect if the goal is making money as opposed to actually predicting the market , the task at hand can be achieved by simple rules ... similar to how you don't need a fancy brain to be a successful evolutionary species
hey, video interesting as of now, but let me say: many fractals are self-similar, but in contrast to popular opinion self-similarity is not a defining characteristic of fractals. And having it in your name and talking about it quite extensively, I guess you should know that.
Thanks and yeah that's a great point - and certainly financial markets are not exactly self-similar, but rather the self-similarity is in the way the statistical properties scale. I don't remember but I might have mentioned this in one of these videos - but you're right that it's an oversimplification to imply that all fractals are self-similar in the way that a Koch curve is. Thanks again!!
Hey thanks Juanro - the Weierstrauss function (if I'm thinking of the same thing) is just made by adding cosine functions together with an exponential coefficient - so it makes a fractal pattern but it's not really a dynamic model that describes a natural phenomenon (at least I can't think what it would describe - not a financial market I wouldn't think). And that's why I didn't consider an equation like that. Also, it would presumably be a periodic function that repeats, which isn't the case for financial markets, and wouldn't exhibit clustered volatility either, which is really important for considering options prices. Thanks very much for your great comment! Hopefully I'll get around to talking in more depth about some of this stuff at some point!
Thanks again for the encouragement! - I'm certainly aiming to get to publishing some more - it's been quite an interesting and fun thing to do. If you don't mind me asking, I'd be interested to know what things you particularly liked about the channel and what kind of content interests you the most - thanks!
@@fractalmanhattan I particularly liked the content you addressed, which looks at financial markets in an unconventional way (fractals, chaos). You also seem to be quite savvy in how financial markets work in general and communicate very well. Your videos are made at a level that is easy for most people to understand (which is probably a good thing). Your videos helped me learn new concepts as well as deepen my understanding of other topics I was already familiar with. Personally, I'm quite interested in the overlap between finance/financial markets and mathematics/physics/engineering, which seems to be your niche. Again, it seems like you have a lot of knowledge is this field and I could definitely learn some more from you.
I agree that you can simulate turbulence that way, but my understanding is that you won't see the same self-similarity that you get in real turbulence (partly because of the finite resolution). But maybe fine-resolution simulations on high-powered computers are starting to show some signs of self-similarity?
Genuinely not trying to devalue your videos or pry too much but I was just wondering if you're a profitable trader? Not that you have to be as I find your videos to be thought provoking at the very least. I also enjoy your thought process. It's just that if you are I thought I could try to pick your mind even more haha
I realised you seem to be thinking more long-term and are more focused on longer term buy and hold trading/investing? If that's the case you can completely ignore my question :)
Thanks Dana :) - I’ve always been fascinated by financial markets, and did trade stocks in the past (not really now though, although with the current market it might be tempting to try to exploit some large movements). Partly for that reason, and being an expert on fractals and chaos (my PhD), I spent a lot of time investigating different trading methods. I learned a lot from that which I felt could be valuable to other people, so this channel is an experiment with that. Mandelbrot suggests that patterns in markets occur mainly due to chance, and that reading meaning into them is fatuous - but there are insights from him which he notes could be exploited. I think it’s valuable for people to more broadly understand these theories, not just “quants”. And they are equally relevant for people interested in investing (i.e. for longer term). In terms of specifically trading (which I guess means high-frequency trading?), this takes a lot of effort and there are significant risks. The approach of looking at trades as investments first, rather than to try to make quick money (i.e. “get rich slow”, as the Raynor Teo channel says), I think is a good one.
@@fractalmanhattan Hi! I'm recently got fascinated with the topics of fractal geometry and non-linear dynamic. Now I've got enrolled in master in quant finance and maybe i get the chance to do some research in relation to finance field. So my question is was your PhD in physics or mathematics? And if possible can you share the links to your previous papers or maybe you could recommend interesting works of others?
Thanks Pavel! That course of study sounds really interesting! My PhD was physics. Papers that I have published relating to fractals are all on geophysics rather than finance. I suggest though you could look at some papers by Peter Richmond from Trinity College in Ireland whose work on applying fractals to finance I found really interesting and useful. You can find him on ResearchGate - I suggest looking at what he published in the period from around 2000-2007. With some luck at least some of those papers will be accessible - Hope that helps!! Hopefully I'll get around to making a few more videos on this subject at some point :)
Thanks!! Yes I absolutely agree, and that is left out here. I was thinking more in terms of approaches to characterizing time series like financial market data, and how you might best analyze that signal. But yes, chaotic systems have fractal phase spaces :)
Anyone who came up with the equations to describe the fractal patterns we see on stock charts, is working for funds like Medallion. These papers won't ever be a part of the public domain. LOL.
These are great comments!! Thanks!!
and how does all this help us in trading the markets?
Hi! Watched a couple of your videos on Fractals and Finance and found them to be really informative. As a Commerce graduate with a majors in Finance, I stumbled upon Fractals while reading some research articles for my proposal. was wondering if you could guide me to some resources, references or even some journal articles that would provide some insight to a person who is relatively new in the field of physics and fractals, since I am really keen on writing a research article relating to Fractals and its relationship with Finance during my Ph.D journey. Hope you keep uploading. Cheers and thanks!
Great comments! I think the key one would be to read Benoit Mandelbrot’s book The Misbehaviour of Markets as an introduction, then maybe look up some of his papers. I learned about fractals and multifractals from studying geophysics, and a lot of the work in the literature is on applying fractals in that context. There is a Journal of Econophysics which might be worth looking through for useful papers. I found in the past that there weren’t any really good papers or books that explained this subject well as a whole (that might have changed), and most the papers were focused on esoteric aspects of the theory. I found it best to learn from other people who understood it well and could explain it. One such person who explained this in terms of financial markets was Peter Richmond from Trinity College in Ireland, but I don’t know if he wrote any papers explaining the subject holistically. Even financial professionals tend to just use methods that help take into account some of the “misbehaviour” of markets, but don’t really understand the fractal theory that this comes from. That’s actually one reason why I thought it would be good to make some videos on this subject, to help get the message out there about fractals, and I’m definitely planning to make some more videos at some point! :)
@@DrMichaelLauren Completely agree with all the points that you’ve laid out, I as well didn’t quite get any strong papers or books pertaining to this subject. I’ll definitely look out for Prof. Peter Richmond on this context but at the same time will wait for your videos as well since no one seems to be touching on this subject on this platform as of now.
If I were you I'd start at the first principles and start picking up some math textbooks
Thanks for this video. Looking forward for more of your videos on fractals and finance. BTW I highly appreciate the references provided.
Many thanks for your kind words TaquitoDeTripa :) - I enjoy putting these together, so I'm planning to do some more.
Do you know anything about Langevin dynamics - dynamical systems whose equations contain a random component, but still end up forming an attracting set? Do you see any utility in finance for these sorts of equations?
That's not something I've studied, but it sounds interesting
Thank you !
Thanks for watching!!
If I was a hedge fund manager and this video was your job application - you are hired, congratulations 🎉
Hee hee - that's very kind of you!
what is a fractal market on a higher timeframe? if for example the market is in an uptrend direction ,does it mean that on a lower timeframe such as 1-minute, or or in micro time frame still the that is the same in an uptrend direction as an overall direction as a whole that the lower timeframe submitted to an uptrend direction because on a higher time timeframe is it is bullish trend. is it correct?
So the market is a nonlinear intertemporal statistically self-similar stochastic PDE with 10000s of variables, half of which probably follow some alpha-stable distribution which isn't even analytically expressible! So much for get rich quick schemes
I understood most of it , yay :)) what comes to my mind is that having absolute knowledge over market's every move might need an understanding of all of this complexity ... but you could simplify all of this with some dumb heuristic (e.g. buy when up ... sell when down) and if it works better than chance , you make money! effectively, you have reduced all the complexity into a binary : will the TP be reached before the SL ... I can't speak with certainty cause I'm not profitable ( yet 😂😢) , but I suspect if the goal is making money as opposed to actually predicting the market , the task at hand can be achieved by simple rules ... similar to how you don't need a fancy brain to be a successful evolutionary species
hey, video interesting as of now, but let me say: many fractals are self-similar, but in contrast to popular opinion self-similarity is not a defining characteristic of fractals. And having it in your name and talking about it quite extensively, I guess you should know that.
Thanks and yeah that's a great point - and certainly financial markets are not exactly self-similar, but rather the self-similarity is in the way the statistical properties scale. I don't remember but I might have mentioned this in one of these videos - but you're right that it's an oversimplification to imply that all fractals are self-similar in the way that a Koch curve is. Thanks again!!
What about the weierstrauss method?
Hey thanks Juanro - the Weierstrauss function (if I'm thinking of the same thing) is just made by adding cosine functions together with an exponential coefficient - so it makes a fractal pattern but it's not really a dynamic model that describes a natural phenomenon (at least I can't think what it would describe - not a financial market I wouldn't think). And that's why I didn't consider an equation like that. Also, it would presumably be a periodic function that repeats, which isn't the case for financial markets, and wouldn't exhibit clustered volatility either, which is really important for considering options prices. Thanks very much for your great comment! Hopefully I'll get around to talking in more depth about some of this stuff at some point!
Amazing channel!
Thanks!
@@fractalmanhattan You're welcome! I wish you would post more, your content is absolutely fascinating.
Thanks again for the encouragement! - I'm certainly aiming to get to publishing some more - it's been quite an interesting and fun thing to do. If you don't mind me asking, I'd be interested to know what things you particularly liked about the channel and what kind of content interests you the most - thanks!
@@fractalmanhattan I particularly liked the content you addressed, which looks at financial markets in an unconventional way (fractals, chaos). You also seem to be quite savvy in how financial markets work in general and communicate very well. Your videos are made at a level that is easy for most people to understand (which is probably a good thing). Your videos helped me learn new concepts as well as deepen my understanding of other topics I was already familiar with.
Personally, I'm quite interested in the overlap between finance/financial markets and mathematics/physics/engineering, which seems to be your niche. Again, it seems like you have a lot of knowledge is this field and I could definitely learn some more from you.
Thanks that's fantastic! @@Brumor
Well said.
Turbulence does fall out of the navier stokes equations, you just need arbitrarily fine resolution in your simulation.
I agree that you can simulate turbulence that way, but my understanding is that you won't see the same self-similarity that you get in real turbulence (partly because of the finite resolution). But maybe fine-resolution simulations on high-powered computers are starting to show some signs of self-similarity?
@@fractalmanhattan en.m.wikipedia.org/wiki/Direct_numerical_simulation
Genuinely not trying to devalue your videos or pry too much but I was just wondering if you're a profitable trader? Not that you have to be as I find your videos to be thought provoking at the very least. I also enjoy your thought process. It's just that if you are I thought I could try to pick your mind even more haha
I realised you seem to be thinking more long-term and are more focused on longer term buy and hold trading/investing? If that's the case you can completely ignore my question :)
Thanks Dana :) - I’ve always been fascinated by financial markets, and did trade stocks in the past (not really now though, although with the current market it might be tempting to try to exploit some large movements). Partly for that reason, and being an expert on fractals and chaos (my PhD), I spent a lot of time investigating different trading methods. I learned a lot from that which I felt could be valuable to other people, so this channel is an experiment with that. Mandelbrot suggests that patterns in markets occur mainly due to chance, and that reading meaning into them is fatuous - but there are insights from him which he notes could be exploited. I think it’s valuable for people to more broadly understand these theories, not just “quants”. And they are equally relevant for people interested in investing (i.e. for longer term). In terms of specifically trading (which I guess means high-frequency trading?), this takes a lot of effort and there are significant risks. The approach of looking at trades as investments first, rather than to try to make quick money (i.e. “get rich slow”, as the Raynor Teo channel says), I think is a good one.
@@fractalmanhattan Hi! I'm recently got fascinated with the topics of fractal geometry and non-linear dynamic. Now I've got enrolled in master in quant finance and maybe i get the chance to do some research in relation to finance field. So my question is was your PhD in physics or mathematics? And if possible can you share the links to your previous papers or maybe you could recommend interesting works of others?
Thanks Pavel! That course of study sounds really interesting! My PhD was physics. Papers that I have published relating to fractals are all on geophysics rather than finance. I suggest though you could look at some papers by Peter Richmond from Trinity College in Ireland whose work on applying fractals to finance I found really interesting and useful. You can find him on ResearchGate - I suggest looking at what he published in the period from around 2000-2007. With some luck at least some of those papers will be accessible - Hope that helps!! Hopefully I'll get around to making a few more videos on this subject at some point :)
The connection between chaos and fractals is stronger than your characterisation; each chaotic system has a fractal as its phase space.
Thanks!! Yes I absolutely agree, and that is left out here. I was thinking more in terms of approaches to characterizing time series like financial market data, and how you might best analyze that signal. But yes, chaotic systems have fractal phase spaces :)
According to mandelbrot, fractal is the shape of randomness. For some, that may mean chaos
Thanks for the insight. Mandelbrot is a genius and definitely worth reading.
👍👍👍
❤