Matstat Econometrics Matan - page 37
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It won't. For example, calculate Hurst day and night. Or when daily volatility is low and when it is high (it doesn't change much in the market). During periods of news and without news. Disturbances are detected by the multicurrency analysis. This is what distinguishes the market from the SB - the "physics" of real life, not the magic with formulas.)
In general, Hearst should not react to volatility. If it does, the formula for calculating X is wrong.
If you take SB implementation and calculate Hearst on it, the situation will be the same)
On SB Hearst will be significantly closer to 0.5 (and more stable). The value of this significance will of course depend on the accuracy of the calculation methodology.
But additional checks are needed. For example, it is possible that the mean is 0.5, but the variance is very different from that of the SB.
As with any other statistic - MoM, stddev, correlation - any calculated figure has its shadow: the confidence coefficient.
We probably mean different things. Take a sinusoid for example. If the window is much larger than the period - it is reversible, if it is much smaller than the period - it is trending.
Well, in that case Hearst is also a linear regression of points calculated in logarithmic scale. In the case of a sinusoidal, we must get a set of points, which rapidly grows at the beginning (faster than 0.5) and then slowly falls (less than 0.5). I.e. such a poker face will be obtained. Another thing is that the linear regression in this case will show what the hell it is and therefore one should look at the residues, if seriously stick to this indicator.
Science can do a lot of gyntics, but the mathematical meaning of the question is not clear to me.
As with any other statistic - MoM, stddev, correlation - any calculated figure has its shadow: the confidence coefficient.
If we are talking about the confidence interval, in all the studies I have seen for Hearst on real assets the confidence interval has always included a value of 0.5
If we are talking about the significance level of the difference between Hearst and 0.5, it is unlikely to be high, although I do not remember such studies.
sma, which would still have the mnc built in)
Well, it would probably be some kind of weighted moving average, the coefficients of which are calculated by means of MNA.
Basically, it's a standard linear prediction problem, but it's usually stated as a theory, which is hardly needed in your real life) For example, this is the Kolmogorov paper that Shurik used to carry)
sma, which would also have a built-in Mnc)
Is there some kind of slider in Matan that would centre itself, like an approximation?
Like this one?
Like this one?
My trading robot takes 10 lines)
strings of 1,000 characters long?
Yes, sort of. True, this particular one is tricky - it only centres on the story and matches the usual lwma at the far right point.