FR H-Volatility - page 24
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
Very curious. As I understood from internet searches, it is an index based on the S&P 100 on the Chicago Stock Exchange. Well, the fact that stocks are not at all the same as Forex is kind of clear. But it is interesting to calculate the H (Hearst's coefficient) for this beautiful curve... The curve obviously doesn't look like a currency curve with its persistence, right, Yurixx?
Here's a sudden thought - there's a simple test of the concept of operating time. We need to construct a swing - duration diagram for equal-weighted bars, the presence of a "trend" on it will mean that there are problems with the concept.
Well, I wouldn't say that. The person, when he started working with BP, initially focused on the same time intervals between samples. There are many reasons for this approach as justification, but it is not important in this situation. Where the process is continuous or where the frequency of signals is so high that sampling has to be done involuntarily, this is more or less justified. But when the process is discrete and that discreteness is crucial, the situation changes fundamentally.
For example, you flip a coin. Clearly, the event is the flip, not the timing. You can flip it often, or at different intervals - it doesn't matter. It is important for statistics that all throws are counted in order of arrival, not when the clock strikes. So the concept of operating time itself makes deep sense.
And the presence of a trend on the diagram you suggest will not mean the presence of problems of the concept, but the presence of certain properties of the process. Depending on the presence of these properties, the concept of operational time may or may not have a significant effect in research.
Very curious. I understand from internet searches that it is an index based on the S&P 100 on the Chicago Stock Exchange. Well the fact that stocks are not at all the same as forex is kind of clear. But it is interesting to calculate the H (Hearst's coefficient) for this beautiful curve... The curve clearly does not look like a currency curve with its persistence, right, Yurixx?
It's not counted by SP100, but by its option prices. And it's not a stock, it's an index. And of all the stock exchange instruments, it is the most liquid. It would be interesting to calculate it, of course, it doesn't look much like currency charts...
However, try to do it here. Close curve on the Euros over five years. I think it will be much more similar in a condensed form than it looks at first glance.
Yura, if possible, take the logarithm of the index increment modulus (keeping the sign of the increment) and summarise the resulting series. It is interesting to look at the result and compare with the original BP.
Hi Sergei !
Give us a little more detail. What is the index ? Is the incremental modulus |Idx(x)-Idx(x-1)| ? Or maybe it's a relative value ? What is the data array, over what period ?
As far as I understand, you want to replace the first differences by their logarithms, and the resulting series to integrate ?
Hi Yura!
I'm talking about the graph you gave in your previous post.
Yes, I want to replace the first differences with their logarithms, and integrate the resulting series. Compare the result with the original series (as far as possible).
Depending on the presence of these properties, the concept of operational time may or may not have a significant effect in research.
Well, here it is, a crooked one. Not in five years, but almost in four. But still - another curve...
But when the process is discrete and that discreteness is crucial, the situation changes fundamentally.
Well, here it is, a crooked close. Not in five years, but almost in four. But it's still another curve...
What's that about?
Does it bother you to calculate the autocorrelation coefficient and compare it?