Jan

14

 Surf has been between consistently 15-25 feet and even higher on occasion for several weeks here with glassy perfect conditions. When it gets big, there are only a handful of guys out. Many don't have the right equipment. You need a big wave gun to handle the big drop and high speeds. I've been able to catch some of the biggest waves I've ever ridden. You really need to be in top shape. Old guys have some advantage (or maybe less disadvantage) in big waves where physical speed is not as important as experience and strength. Also, good surf equipment is expensive. A big wave gun might be close to a grand, but gets used only a few times a year. Some guys on standup boards are getting some big ones. It's a new way of catching waves, but they get really creamed if they get caught. The boards are not maneuverable enough to negotiate the twists and turns of the wave.

Watching all the waves made me want to ask others about data stream. One can measure the speed of one's Internet connections, but my sense in watching the ticks is that the data, or perhaps the executions themselves, are coming in waves and sets of waves. The price swings have certain wave characteristics, and none of the Prof's good studies on Fourier models will convince me otherwise. For those of us further than 50 yards from the exchange and that might possibly have nothing better to do all night than watch the ticks. Out of curiosity do the data come in waves over the cable and fiber and air? Electricity surges, as I understand.

The question of the stream is of purely academic interest, but the entirely different question of execution waves might be a source of profit if understood. If Globex has an algorithm, and if the autobox executions are using algos as well, some sort of wave pattern is likely to result mathematically. This is not volume, but rather rate of execution, or bunching or clustering.

Sine waves, tides, surf, all by definition will pass through the 0 or unchanged. During this extended flat period despite the slow up drift, the zero or unchanged mark seems to have more fascination for the market than the scene of the crime. The question and hypothesis is whether the deviation on either side of unchanged might be measured or predicted and the probabilities thereof.

Mr. Albert shares:

I believe that the data waves have to do with execution programs that may be keying off the same feeds or slicing big orders into smaller orders. It seems like executions are less and less continuous even for very thick stocks.


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