Wednesday 12 November 2014

S&P 500 in 392 Weeks: Scale Invariance Test Coming


In one of Mandelbrot's original works on "scale invariance," he studied the cotton markets around the mid- to late 19th century and found that the shape of the price versus time graphs were similar no matter whether you measured the average price per week or month.  A discovery of any kind of invariance is an important fact about how the way the world works.  No matter how quirky the invariance is, any theory worth being called a theory needs to explain the invariance's existence.

The above graph is not scale invariant.  But it might be multi-scale invariant.  Much depends on what will happen in the next week or so.

No comments:

Post a Comment