March 27, 2021 |

Victor Niederhoffer  writes:

What can the physics of pressure tell us about markets.  when a large accumulation of sel orders is directed at one point the force /area is great as it is in a triple top or double top or break thru the sogi/ what other elementary physical principles apply to markets. 

Zubin Al Genubi writes:

I can venture to say the idea of Gravity does NOT work in markets. Looking at a chart one gets the illusion of height or that gravity might effect prices but it is an illusion and a dangerous misleading illusion.

Peter DeBaz writes:

I'm not a physicist, so I'm sure that any understanding I have of physics would make a pro scoff.  Financial "momentum" could be an expression of newton's first law.  VN's original idea could be a restatement of f=ma, newton's second.  And finally, "value" trading could be a violation of the second law of thermodynamics, which is why, one could argue, that it never worked (lol). 

Andrew Aiken writes:

Black-Scholes-Merton option pricing formula is a direct restatement of the heat (diffusion) equation:

ut − ∆u = f(x, t)

and later refinements such as Heston, which allows for pricing “jumps”, are extensions of this equation with additional conditions.

(I prefer to price options in a way that doesn’t underprice tail risk)


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