THEORY OF TIME FRAMES

In 1997 GC, a large trader operating on the German and American financial markets, identified in the analysis of the market depth of a particular future (DAX) a series of numerical relationships produced by the volumes on the first three levels of the book and the volume of lots traded in consecutive execution per minute. These relationships were used to define a real-time trend algorithm. Therefore, the direction of the DAX future could be established during a defined period which at the time was a few minutes.

Subsequently he divided the analyzed periods into sequences, cataloging them into time slots. With a further study within the double iteration, continuous series, and values to be cleaned, he came to define a set of parameters useful for extending the definition of the trend to daily, weekly, monthly, and annual time periods. To support the study, he related the results to existing time series studies and possible variability components. The relationship with them was of absolute interdependence in the sense that there were no links with the historical series just as no alteration came from the variability components. He again adopted a logical process of verifying the study, therefore analyzing whether the homogeneity and seriality of the result obtained could have elements of randomness or whether, vice versa, it was well anchored to an underlying behavior; this analysis was done by cataloging those who operated on the financial markets and in what role; from which part of the world they operated and at what times; what were the possible volumes to report to these subjects. He made use of a filter and calculation program linked in real time to the reference market. The conclusion was the absolute consolidation of the TEMPORAL THEORY OF TIME FRAMES.

In the following years GC extended the study to other markets (STANDARD & POOR’S 500 index and futures, DOW JONES index and futures, NASDAQ 100 index and futures, verifying the similar results and subsequently opened a field of verification also on the EUR/USD cross also It is positive as well as on other 23 currency pairs. Today the THEORY OF TIME ARCHES has a valid and recognized contribution to the asset management activity.

« Published in 2010 by the Shanghai Advanced Institute of Finance as part of a master’s degree in financial market derivatives ».

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