FR H-Volatility - page 28
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Another question. As I understand it, pictures drawn from the end and from the beginning will be too different. That is, you have to have a constant point of reference. And that may not be possible.
From the beginning, Vinin. It's arbitrary by reference point, but I don't think it's too terrible. If you build from the end, the last bar will be too dynamic, and the ones next to it will be redrawn.
There are technical problems here due to the fact that the number of equivolume bars, generally speaking, will be different than the Bars. Thinking about it.
But when the process is discrete and that discreteness is fundamental, the situation changes fundamentally.
Well, well ... Let's get back down to earth. Price is determined in every single transaction - that's the reality. The number of trades is not only countable, but even of course. As long as no deals are made we think the price is worthwhile. But is it fair ? Alas, no. Recent history in the post-Soviet space has many examples of trade stalling, not because there was nothing to trade or because no one wanted anything, but because the seller could not add up the price under rapidly changing conditions. Think of hyperinflation.
Yes, the economy exists continuously. Yes, life flows. But if you look at price objectively, there is no price until there is a transaction. And even the quotes broadcast by a broker, when not translated into a specific transaction, still reflect his willingness to enter into such a transaction. So the price process is the numbers we see at the time of the flashback. What is there the rest of the time is unknown.
But even if one accepts the view that ticks are a process of price change, then again, operating time rules. And it means that no matter how much time passes between the ticks - it doesn't matter, nothing happens formally on the market during this time, and therefore it makes no sense to bind to the hours.
And the noise is present in the market by itself. There are a lot of transactions, they all happen simultaneously in different places and between different market agents. That is why pricing is a stochastic process. Seems to me, on the contrary, astronomical time increases noise, not transactional time. Try to disprove that. :-)
Another question. As I understand it, pictures drawn from the end and from the beginning will be too different. So, you have to have a constant point of reference. And that might not work.
It's simple. A soldier comes out and says, "LUMIN, this is a bar with five ticks. And starts a second archive of bars with equal amounts of ticks from 1. 01.2008 in parallel with minutes (normal). In this case Volume can be discarded because it is not needed in this archive and we will be happy.
I think it's simpler than that. The spread is chosen on the basis of the variance of the incoming price stream for the brokerage company
You are contradicting yourself or it's a misprint and should read "related to price measurement discreteness", the price itself seems to be continuous, we already came to this conclusion two pages ago.
Yurixx, bravo (no irony)! The world does not exist until there is an observer (measurer) in it. And here the observer is the transaction (or quotation). Transactional time rules! And there's nothing between the counts, and there's no need to make up theories about a continuous stoch. process.
P.S. I like this kind of solipsism... "There is no world until I measure it".
I'm talking about the graph you cited 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 much as possible).
Got it. That was the graph from Yahoo. I downloaded the daily data from there since 1990. I'm posting it here. If you want, you can load it into Excel or Matcad. I'd love to do it, but I'm leaving tomorrow and I've got a lot to do. Oh, I'm sorry.
Another attempt to attach a file. It ended unsuccessfully.
HELLO !!! Moderators, this problem again ! Fix the site !
You are contradicting yourself or it's a typo and should read "related to the discreteness of price measurement", the price itself seems to be continuous we already came to this conclusion two pages ago.
Yurixx, is the zip not attached?