A Fundamental Price Impact Model of The Stock Market
Multilevel Fractal Swings In Log-Periodic Power Laws
Multilevel Physical Cycles in Hilbert Transform and A Quantum Space of Price and Time
Multidimensional Embedding and Nearest Neighbour Algorithm for Prediction
Swingtum - A Computational Theory
Concluding Remarks and References
The Swingtum theory outlined in this paper provides a comprehensive dynamic model of stock market integrating fractal dynamic swings and physical cycles as well as the quantum price-time space. The model is computable in terms of statistical parameter estimation and nonparametric multidimensional embedding and nearest neighbor pattern recognition.
The theory is a step toward unifying professional technical analysis and academic quantitative analysis into a science of intelligent finance. The more general Swingtum theory should extend the fractal and cyclical models of a univariate benchmark index to the multivariate time series models of intramarket and intermarket dynamic analysis.
This is an ongoing effort, further theoretical development, system implementation and real-data experiment will be reported in the future.
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Prof. Heping Pan
Swingtum - A Computational Theory of Fractal Dynamic Swings and Physical Cycles of Stock Market in A Quantum Price-Time Space
This paper presents the basic framework of a comprehensive computational theory of stock market behavior, which we call Swingtum, taking multivariate stock index time series data as input, and producing probabilistic predictions of stock index movement at multiple time frames.
By Prof. Heping Pan