A new technical indicator based on a turnover weighted moving average is applied to estimate the ... more A new technical indicator based on a turnover weighted moving average is applied to estimate the cost basis of market indices. The relationship between the fundamentals of market valuation and the technical factors of market sentiment is combined in a unified cost-basis theory view of how markets behave near critical values of the average profit and loss.
Following last week's article on tax loss selling (First Edition, 7 June 2002), we look at the qu... more Following last week's article on tax loss selling (First Edition, 7 June 2002), we look at the question of estimating the market average profit and loss position. Using a simple statistical model, we show how an estimate can be made using only the value traded, market capitalisation and index price. The result is a CSFB market P&L signal.
Castellan Captial and Jevons Global Whitepaper, 2020
The COVID-19 pandemic poses extraordinary challenges in risk management for business owners and m... more The COVID-19 pandemic poses extraordinary challenges in risk management for business owners and managers. They need to estimate when it is prudent to reduce work-group size or to send people home. In this note we show how the basic probability theory of the Bernoulli trial can be used to help inform that decision along with epidemic data on the likely probability that any individual might be infected.
A new technical indicator based on a turnover weighted moving average is applied to estimate the ... more A new technical indicator based on a turnover weighted moving average is applied to estimate the cost basis of market indices. The relationship between the fundamentals of market valuation and the technical factors of market sentiment is combined in a unified cost-basis theory view of how markets behave near critical values of the average profit and loss.
Following last week's article on tax loss selling (First Edition, 7 June 2002), we look at the qu... more Following last week's article on tax loss selling (First Edition, 7 June 2002), we look at the question of estimating the market average profit and loss position. Using a simple statistical model, we show how an estimate can be made using only the value traded, market capitalisation and index price. The result is a CSFB market P&L signal.
Castellan Captial and Jevons Global Whitepaper, 2020
The COVID-19 pandemic poses extraordinary challenges in risk management for business owners and m... more The COVID-19 pandemic poses extraordinary challenges in risk management for business owners and managers. They need to estimate when it is prudent to reduce work-group size or to send people home. In this note we show how the basic probability theory of the Bernoulli trial can be used to help inform that decision along with epidemic data on the likely probability that any individual might be infected.
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