Random Flow Theory and FOREX - page 49
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Noise, sorry,...random wandering or a periodic signal? A light bulb, for example, doesn't care as long as it has enough power. So why don't you look for an Edison?
In fact, some smart people with "random walk" manage to transmit information and do it well.
Non-smart people manage to make money on casual wandering, and they do it well.
Was there something you wanted to say or ask?
Did I state somewhere that the stream of quotes is white noise? Can I have a quote? Your attempts to attribute nonsense to your opponent that he didn't say and then bravely stigmatise him look truly heroic. "Aye aye aye aye aye..."
What, Timbo, you don't like it when others use your tricks? I don't. That's understandable. Well, then you have to start with yourself. Time to stop, Timbo, "attributing nonsense to your opponent that he didn't say and then bravely branding him". And there's no need to get personal. You're as much of an elephant as you are a ballerina. All you can do is throw around loud, but completely unproven, or generally false claims. For example.
There is no signal in Forex and therefore there is nothing to separate.
This is complete nonsense. There is a signal, dear! The price chart is a signal. Then we can talk about its nature, properties, etc. For example, it is simple or contains several components. Deterministic or random. And so on. And no signal, you clever fellow, is when the connection is broken. :-)))
A price series is a random stray. Any statistical unit-root test will show you that with more than 99% certainty. Noise can be considered price increment. It is not white noise in the classical definition, its structure is more complex and not homogeneous, but to consider it noise is close enough for everyday purposes.
And could you, kindly, give a definition of random rambling here. You see I've done quite a bit of fiddling with this and have shown (with 100% certainty) that the price increment is not a random walk. However, I won't claim that you're wrong. Not yet. After all, I don't yet know what you call random straying. Maybe you have your own, Timbovian, definition of it. Maybe that's why it suits you "for everyday purposes".
Insipid people manage to make money from casual wandering and they do it quite well.
Did I state somewhere that the stream of quotes is white noise? Can I have a quote?
Please:
"The price series is random rambling."
"There's no signal in forex and therefore nothing to separate."
"But counting it as noise is close enough for everyday purposes."
etc.
Your attempts to attribute nonsense to your opponent that he didn't say and then bravely stigmatise him look truly heroic. "Aye Mosca, know she's strong..."
I didn't claim you were strong. I simply observed that you're already pathetic and it's time you stopped yapping at the market. He doesn't give a shit.
"Even simple statistical processing of a stream of quotes reveals certain patterns, signals" is very cool. It's worth a Nobel Prize. Would you mind telling us a couple of statistically significant patterns? Not 50-50, but at least 25-75.
It's your problem to look 25 to 75. Just because a pattern is 51/49 doesn't make it any less statistically significant. No one has ever won a Nobel Prize for finding a pattern in forex. If you think you can, go ahead.
It is not white noise in the classical definition, its structure is more complex and not homogeneous, but counting it as noise is close enough for everyday purposes.
Yeah, we are already starting to retrospectively clarify that we meant something else entirely, well almost that, but different. Well not noise, but we can consider it noise for everyday purposes, but it's not noise, noooo... And even if it is noise, it's not noise at all patamuchta it's noise not in the classical definition. But it's not white, noooo... it's more complicated than white! But even so, there's no signals in it. And it's not white either, but white is a different noise and it was yesterday. It's not white today. It's got structure, but it's not signals no-o-o-o... It's a structure! And signals are not structure... That's two different words, so structure can't be signals... Exactly! And even if it could, they are still different things because they are different words, otherwise how would the words be the same...
PS For some misunderstood philosophers: "signal" in this thread means "useful signal".
And could you, kindly, give us a definition of random walk here. You see, I've done quite a bit of fiddling with this and have shown (with 100% certainty) that price increments are not random walks. However, I won't claim that you're wrong. Not yet. After all, I don't yet know what you call random straying. Maybe you have your own, Timbovian, definition of it. Maybe that's why it suits you "for everyday purposes".
Well done! Hero! Champion! You're absolutely right. You've done quite a bit of work and you've broken through an open door. Naturally, the price increment is not a random walk. The price increment, usually in the form return = log P(t) - log P(t-1), is noise. With some assumptions it is assumed to be stationary. Again with some assumptions it is assumed to be normally distributed. If this assumption is too broad, then it is narrowed down to a stable distribution, which has no solution in general form, only special cases. The random walk is the price itself.
This is a pearl. We do not really care what the mathematicians proved. We can make money out of thin air. However, it's probably on Tambov's random walks that people make good money. Well, we will have to wait for the definition. Otherwise it's still the ninth wonder of the world.
Just because you've heard something about martingale doesn't mean that all econometrics ends there. Every rule has exceptions, on which other financial mathematicians have won Nobel prizes. You can consider it the ninth wonder of the world, I won't dissuade you.
Oh, I almost forgot - random walk is random walk, the definition is on wikipedia.
Abstraction from the bickering: noise does come in many colours:
white, pink, red, blue, purple, grey....
https://ru.wikipedia.org/wiki/%D0%A6%D0%B2%D0%B5%D1%82%D0%B0_%D1%88%D1%83%D0%BC%D0%B0
Do you like white best?
You're like that non-commissioned officer's wife - a self-hatred.
Please:
"The price range is random rambling."
So? Thank you for confirming that I didn't say quote flow was noise. Quote stream = price stream = random wandering != noise.
PS For some misunderstood philosophers: "signal" in this thread means "useful signal".
Thanks again for the clarification. That is exactly what I meant. Since the price is random rambling, there is no useful signal there by definition.
he doesn't need charts or mcl4 (much less mcl5)
once a quarter he looks at the prices, puts them in the echelle and makes a puzzle out of them.
thinks everyone is stupid because he's already on hard drugs
Do you like white best?
Naturally white, as it is stationary, i.e. predictable with a known probability in advance.
What's the matter with you boys? No need to quarrel ((C) an old black and white Soviet film about pioneers).
A couple of PTU-ers wouldn't hurt at all in this forum - for a change. But it really is time to streamline this verbiage and throwing around abstruse definitions a bit.
timbo писал(а) >>
Naturally white, as it is stationary, i.e. predictable with a known probability in advance.
First of all, you guy doesn't know what "stationary" means, since it's a concept introduced in modern science for completely different natural phenomena, and if you start going into detail about its definition you'll be stumbling on every, I repeat at every word, CARDINAL inconsistency of the definition "stationary (noise, process)" to such a HUMAN phenomenon as the flow of currency prices.
Secondly, you guy doesn't know what "probability" is, because, again, once you start dealing with the definition of "probability" (and it's a total LOSS in modern mathematics), you'll see again how far it ("definition" of probability) is from the currency price flow and its as you say, "predictability".
"Predictability" by WHO? By God? Or by you? If you can "predict in advance", what are you doing on this forum? Chop your own cabbage and make fun of the rest of us. And if you're stuck on this forum, be kind enough not to throw around phrases, a detailed analysis of which will show that you are stupid (and arrogantly, with omniscience) skipping important points in the mathematical sense, and even in the DEScriptive sense.
My words apply to everyone here.
Naturally white as it is stationary, i.e. predictable with a known probability.
I didn't want to get into a discussion, but the wikipedia definition of stationary noise is as follows:
Stationary noise is noise that is characterized by constancy of the mean parameters: intensity(power), intensity distribution over the spectrum(spectral density), and the autocorrelation function.
Stationary noise is noise where the spectral components are evenly distributed over the whole range of frequencies involved.
I don't think the predictability of the signal has been predicted from it yet. Or what did you want to predict? And on the first point (that we are dealing with white noise), I'm not so sure it is....