AlgoDynamix Webinar

I had the pleasure of attending a webinar on June 13th by AlgoDynamix. The management team are physicists who met at Cambridge University. Instead of using historic return data, like I do, they look at behavioral characteristics of clusters they develop from a limit order book, as shown below:

I remember back when I was an allied member of the NYSE, it was believed if one could get a peek at the specialist’s books, one would be able to determine which way the market was going.  Perhaps AlgoDynamix is getting that peek with an insight into their behavior.

I believe this could be a major improvement over the methodology I developed. While my February 6th posting warned against having more than 40% in equities,  AlgoDynamix raised a red flag for a downturn in the market, which occurred in April, with a subsequent flag indicating an end to the downturn. In the past year that I have been observing their flags for ups, downs and endings, their methodology appears to have had predictive powers worth looking into.

About Frank Sortino

Frank Sortino is finance professor emeritus from San Francisco State University and Director of the Pension Research Institute which he founded in 1981. For 10 years he wrote a quarterly analysis of mutual funds for Pensions and Investments Magazine and he has written two books on the subject of Post Modern Portfolio Theory. He has been a featured speaker at many conferences in the U.S., Europe, South Africa, and the Pacific Basin. Dr. Sortino received his Ph.D in Finance from the University of Oregon and has carried out research projects with many institutions like Shell Oil, Netherlands and The City and County of San Francisco Retirement System.
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