TIME SPANS THEORY In 1997 Graziano C. Purcaro identified in the analysis of the market depth of a particular future (DAX) a series of numerical relations produced by the volumes on the first three levels of the book and the volume of lots traded for execution to the minute. These relations resulted in defining an algorithm of trend in real time.
Thus the direction of the DAX future could be established over a period defined that, at that time, was only a few minutes.
Subsequently he divided the periods analyzed into sequences cataloging them in 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 to be able to extend the definition of the trend to daily, weekly, monthly, annual time periods. To substantiate the study, he related the results to studies of existing time series and possible variability components. The relationship with them was of absolute interdependence in the sense that there were no links with historical series as well as none alteration came from the components of variability.
Furthermore, he adopted a logical verification process study therefore going to analyze if the homogeneity and seriality of the obtained result could have elements of randomness or if, vice versa, it was well anchored to an underlying behavior; this analysis was done by cataloging those who operate on the financial market and in what role; from which part of the world they operated and at what times; what were the possible volumes to refer to these subjects. It made use of a filter and calculation program linked in real time to the reference market.
The final conclusion was of the absolute consolidation of the THEORY OF TIME SPANS. In the following years G.P. extended such theory to the study of other markets (STANDARD & POOR’S 500 index and futures, DOW JONES index and futures, NASDAQ 100 index and future, verifying the similar results and subsequently opened a verification field on the cross EUR / USD also positive.
Today, the TIME SPANS THEORY has a valid and recognized contribution to asset management.
Published in 2010 by the Shanghai Advanced Institute of Finance as part of a master’s degree in financial market derivatives