|
The self reference hypothesis |
Neoclassical economy has been dominated by:
- Capital Asset Pricing Model (CAPM)-(Sharpe 1964)
- Efficient Market Hypothesis (EMH)-(Fama 1965)
Financial crisis has made questionable the unanimous reference to "market value"
New models (Andre Orlean) exhibit self-reference hypothesis
- Rejecting the idea of an objective assessment
- Fixing the price where investors think the consensus lies
Temporary bubbles could be formed when consensus differ from fundamental market value although this value is known by investor
Profits can be achieved not by establishing the fundamental value but by finding where the consensus lies
Principles : How to modelize the consensus ?
IRMA5 modelizes market consensus through in-depth analysis derivatives markets volumes
- buying a CALL can be analyzed as an anticipation of a rising market
- buying a PUT can be analyzed as an anticipation of a falling market
Based on this analysis, which is run daily, IRMA5 detects:
- the probable direction of the market,
- Either in a reversal mode
- Or in a Trend following mode
- on a middle to long term horizons
- without any prices anticipations
Very innovative research run by cobalt alternative investment has proven that daily volume exchange on derivative markets appears to be a good representation of market agents convictions regarding their anticipation for a rise or a fall of futures prices on middle to long term view
A Daily Three Steps Process
The process try to determine the probable future direction of the studied asset (Rise or fall) on a middle to long term view and does not take into account its current price level.
Main Indicators
Definition
Sample from 04/2007 to 08/2007
Based on this business model, a first investment product is now promoted with a full transparency policy. Prospective partners or investors may ask for a login access which will give them access in real time to the all the trading operations as well as a net asset value of an investment:
Irma5 October 2011 Report