Machine learning in trading: theory, models, practice and algo-trading - page 1401
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For example, you often scare everyone with Ornstein-Uhlenbeck - the parameter of their equation may well be such a key.
))
As it seems to me, whoever learns how to somehow bring market quotes to Ornstein-Uhlenbeck - obviously will not suffer from lack of funds.
Now your young friend will dig everything about this process - at the same time he'll learn matstat.
What are you talking about the gentleman) He just left in English, without saying goodbye)
went into himself, as they say, without coming to grips with what this topic is all about and what problems are solved here
))
It seems to me that whoever learns how to somehow bring market quotes to Ornstein-Uhlenbeck - obviously will not suffer from lack of funds.
Now your young friend will dig through everything related to this process - at the same time, he will learn matstat.
For his system will be meaningful enough, for example, to approximate by this process the difference between the price and the average. Because of the non-stationarity of prices, its parameter will vary. It has to be calculated and we can't do it without understanding the matstat.
For his system it will be meaningful enough, for example, to approximate by this process the difference between the price and the average. Because of the non-stationarity of prices his parameter will change. It needs to be calculated, and there is no way to do it without understanding the matstat.
Whose system are we even discussing? Is it Yuri's? Or is it a little get-together?
Whose system is this discussion about? Yuri's? Or is it some kind of a get-together?
Alexander. I'm trying to fit him with the Ornstein-Uhlenbeck process (he used to swear by it a lot). But the simple way it does not work, because it is important not only the difference between the price and the average, but the average itself.
So I'll let him do the math on his own.)
Alexander. I'm trying to fit him with the Ornstein-Uhlenbeck process (he used to swear by it a lot). But the simple way does not work, because it is important not only the difference between the price and the average, but the average itself.
So let him himself agonize)
Yes, he wants it exactly the way he wanted it and nothing else. If he would just switch to normal optimization, the results would be at least as good, and it would consume many times less calories in brain
For his system it will be meaningful enough, for example, to approximate by this process the difference between the price and the average. Because of the non-stationarity of prices his parameter will change. It has to be calculated, and we can't do it without understanding the matstat.
But the average price tends to lag half a period and to take into account the average change it is necessary to model the quotes dynamics somehow, at least approximately, but if he is able to do it, why does he need Ornstein and Uhlenbeck?
Yes, it is clear, but the average tends to lag half a period, and in order to take into account the change of the average, we need somehow, at least estimates, to simulate the dynamics of quotations, but if he can do it, why does he need Ornstein with Uhlenbeck?
Purely theoretically, there is some room for maneuver. We can assume that the average of the price does not differ from the average of the SB, and all the difference between the price and the SB lies in the difference between the price and the average modeled through Ornstein-Uhlenbeck. It does not make a lot of sense, of course, but you can probably write a term paper)
On Consciousness in Modern Philosophy:
On Consciousness in Modern Philosophy:
Well, philosophers generally love mental masturbation, so no wonder they can't explain anything :) Soviet scientists explained everything long ago.