Discussion of high-frequency trading on MT5 - page 65
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It's all useless, it's all vanity. People who want to believe in the magic of mathematics in the market will continue to masturbate to advertising articles and attractive graphical pictures. Nothing will convince them. Only market entry will show what it's all worth. The only thing that will convince them, even after the fiasco, will be that they did everything right, they just need to find a more accurate formula.
PS. i'm being critical. everyone has their own pis.
Guys, why are you raving about some silly articles? It's all for I don't know who, for geeks probably. If you want to know what algorithms the big uncles actually use, look at how bids were placed and what was going on during the darkpool crash - what they were doing, it's even easier than chintz panties for rubles and twenties. Black and white, it must have been said ten times in this thread that the advantage there is in the hardware, in the pings, but not in the math.
Did you look at the article?
There is a pre-university level maths, a dormitory and a schoolboy (not an underachiever in maths).
I liked the book that EvMir posted at the beginning of the branch, by the way, there is also no abstruse stuff.
But there are also really winded up, with a detailed analysis of the empty works, I agree. But you have to sort it out, and what if something valuable? You can't tell right away.
P.S Often the gain is inversely proportional to the value. A function can be represented in a multitude of digestible ways, even strictly mathematical, for example:
Two forms of the same relationship.
And the easiest way would be to draw their graphs, then there would be no need to simplify the representation, or at least it would be clear where to dig.
When there is pure mathematical masturbation that has no bright concept, but need to show off at the end of the month, or otherwise play a social role, then the only natural way out is to wrap the bubble in a form heavy for intellectual assimilation, then some people are too lazy / can not digest, and some who digest, will spend effort to give more meaning to the bubble (the effect of dedication).
And such things are a dime a dozen.
No, not pre-university at all.
OK, a keen schoolboy in mathematics)))
Although I don't know what schools are doing now, I went to school in Soviet times and simple maths was in grade 9-10 and I was into GRP and had to learn the mathematical apparatus of that theory to understand the intricacies.
Matan, even in its tech-university form, is at the top of the "difficulty" scale. Even tensor analysis rests.
Some branches of group theory, algebraic topology and functional analysis, are to Matan on the scale of "complexity", as the sun is to the earth.
If so, it raises the question of how widely these approaches are used and how they are masked to other algorithms by fake bids (like in Chameleon in Cortex iX).
How often the approach you mentioned is used - I don't know. But in general, there are algo bids even in QuickBooks.
Widely known masking methods I do not know, I used my own developments.
HideYourRichess:
Black and white, probably ten times in this thread said, that the advantage there is in hardware, in pings, but not in math.Guys, why are you rambling on about some stupid articles.
If you have enough intelligence to figure it out (not everyone has it, but okay) - articles come up with various interesting strategy ideas. Sometimes I encounter funny situations: I invented a strategy that works perfectly well; decided to search for similar approaches in some articles; found a 100-page article five years ago that describes the same phenomenon while the core of the strategy can be stated in five sentences.
Pings and iron are solved only in the dumbest strategies like triangular arbitrage on FX. Or do you think that widely known dependencies can be taken and turned into profits so easily? I've noticed that people have had trouble formalising scalping RI futures based on its following the S&P index...
People who want to believe in the magic of mathematics in the market
In my opinion, TA methods are similar to magic.
There is no magic in maths methods, properly applied. If all the assumptions made during model testing turn out to be correct - the model is very likely to work in reality.
Only market entry will show what it's all worth. And anyway, even after the fiasco, they will be sure that they did everything right, they just need to find a more accurate formula.
It's not always as bad as (18) :)
In my opinion, TA methods are similar to magic.
Classical TA is really alchemy.
A person who thinks systematically and has mathematical skills, when studying TA, immediately notices repetitions and hidden subtext and a reflexive desire, all this array of data, to compose (compress), simplify. And yes it is possible!
There are a lot of bullshit, all sorts of angulations, anti-pyramids, but they can also be explained sensibly. At a certain stage there is no point in further absorption,third-party complex alchemical TCs, you only need to know the key factor of inefficiency which it exploits, if it exists, as a rule not. And they (inefficiencies) come and go. But some are venal. For exampleautocorrelation, it is eternal music. But it sounds different every time))) Sometimes it fades, sometimes it stuns.
By "autocorrelation" I mean a more extended notion of dependence of neighbouring values, time series than that definitely, strictly formally. The market is like a frying pan in this respect, like the Tao. "You get a hold of it, and it's gone." That's why it's the most interesting thing man has ever invented. And for the cleverest. But not in the sense of encyclopaedic "cleverness", but in the heuristic sense.
interesting strategy ideas. There are also funny situations: I came up with a strategy that works perfectly; I decided to look for similar approaches in articles; I found a 100-page article five years ago pointing to the same phenomenon, while the essence of the strategy can be summed up in five sentences.
Can you put these five sentences here?
In general, what are the most potential approaches from your point of view?
If you have enough intelligence (not everyone has it, but okay) - articles come up with various interesting strategy ideas. Sometimes it's funny: I invented a strategy that works perfectly, decided to search for similar approaches in articles, found a 100-page article five years ago that describes the same phenomenon, while the essence of the strategy can be presented in five sentences.
Most of the strategies I know, of the profitable ones, fit into the "five propositions".
But that's not the point. People unknowingly substitute one problem for another. Instead of solving the problem of making money they try to solve mathematical problems. In this case under discussion, one must first find the "minimum ping" and then the maths, if it comes to it.
Pings and iron are solved only in the dumbest strategies like triangular arbitrage on FX. Or do you think that widely known dependencies can be taken and turned into profits so easily? I've noticed that people have had trouble formalising scalping the RI futures based on its following the S&P index...
In my opinion, TA methods are similar to magic.
In essence, TA is an attempt at the mindless mathematisation of trading.
There is no magic in matmethods properly applied. If all the assumptions made during model testing turn out to be correct - the model is very likely to work in reality.
All that remains is to prove, at least for starters, the theorem that there are mathematical methods for solving a trading problem.
PS I, by the way, do not deny the possibility of using mathematics, but only where it can be used.
I join in.
Very interested in your personal views on:
1. The imbalance of volumes in bids and asks.
2. The influence of large orders on price behavior. Large orders on the one hand may be a way to manipulate (in this case it is worth trading against such orders), on the other hand - an inefficient change in the size of the position, revealing to the market information about someone's expectations (in this case it is worth to fronting such orders).
3. The form of volume distribution in the cup (the slope is especially interesting).
4. Spread size by best prices and vwap spread for market orders of a certain volume.
For more detailed data (Level 3):
1. Length of order queue on each level.
2. the intensity of order placements, cancellations and modifications at each level depending on the distance to best prices.
For deal flow:
1. Aggressiveness of market orders.
2. Distribution of market order volumes.
3. Probability of informed trading (the last of the approaches I know of:http://en.wikipedia.org/wiki/VPIN).
4. The intensity of the buying and selling flow.
5. Market impact of orders of a given volume.
This will be enough to start with. Afterwards you will probably get an idea of where to dig and what to smoke.
Source:anonymous2013.03.03 13:22#