Probability theory question... - page 5

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Sart писал (а) >>

No predictions based on an indicator are out of the question.

...

For example, there are cranks who calculate and compare areas of geometric shapes formed by indicators.

And there are even more bizarre fantasies, for example, people decompose the Price(time) function in a Fourier series in the hope to find a harmonic,

Typical of a man who appears to be very far removed from science.

While the "spaceships are sailing across the expanse... of the Grand Theatre", most people are still living in the Middle Ages.

PS

2 Mathemat, Neutron

Hi colleagues, the club is closed, so now we have to wander everywhere? :-(

 
Yurixx писал (а) >>

Out. Out the door. You're not there.

If you want to go private, give me your ICQ. If you don't want it in private, give it here.

My inbox is still on my profile.

Sorry - got confused))))

 

Yura, hi!

What happened to the club. Hackers hacked it?

Yurixx писал (а) >>
Уже нашел...

Out. Out the door. You're not there.

...confused.

Intriguing. What exactly are you talking about?
 

Yeah, Leo's got me confused with someone else. Probably Reshetov.

There was already a history with the club. I think it lasted three days. The hoster must have been a real pain in the ass. :-)

You've been buried in your own net. I have an interesting continuation of the Shepherd theme.

 

О!

Put it out there. No one's going to guess and no one's going to flub :-)

And there's nothing I haven't done online. I don't even think about them. It's just, they're all around us... Everywhere!

Yeah. This reminds me of...

 

:-)))

It doesn't feel like it here. Firstly, although there's not much of interest there, there's not a little either. And together with the subsequent discussion even more so. Since this topic has already been touched on there, I wouldn't want to disperse the material and scatter it in different places. Secondly, not everything is ready yet. And what I wanted to share with you concerns the behaviour of H-volatility to the right and to the left of 2. If you remember, the right side is a trend market, the left side is a return market. So, H-volatility behaves very differently in these areas. This difference makes it completely unsuitable for determining the trend state of the market. But as a measure of reversion it is quite suitable.

By the way, it would be interesting to hear your opinion about the discussion of statistical properties of tick-flow that has already taken place there. But, again, not here, but there.

So, when the hosting gets better, show up.

 
I, you may remember, fiddled with tick flow modelling at one time. All I managed to achieve was either a coincidence of the probability function density function (PDF) of the synthetic and real VR, but then there was a big divergence of their autocorrelation functions (ACF). Or, on the contrary, I have achieved a coincidence of the ACF and then there is a divergence of their PDFs. It is clear that these two things are somehow related, but I could not solve this problem, I am not up to my neck. I don't think I could be of any help, although I'll go in and read about it.
 

Can you give me a quick primer?

Is the ACF you are talking about a correlation of neighbouring values ? How is it calculated ? I remember that ACF and correlogram are "two big differences", but I don't remember which is which. :-(

I also remember that in a big thread they talked about all this, but I don't remember where. Maybe it's already sclerosis ? :-)

If ACF is a function of a series point and, consequently, depends on the reference number, you can't reproduce it, it's not even worth trying.

But if it is a non-local statistical function of series CB, i.e. depends on other parameters, then maybe just the opposite and I just need it to get rid of that arbitrariness, which is still present, if we deal with the generation of synthetics.

 

Hopefully the ACF for ticks is non-local, i.e. it depends only on the difference in the arguments. Hope dies last.

P.S. By the way, I've almost finished the renko, there are only little things left. Not as nice as Shepelev's and especially Scriptor's. But it is quite realistic. I collected candlesticks not by ticks, but by M1 or M5. Of course, in reality H is not a constant, but a value with its own law of distribution, similar to the exponential one.

 

I.e. ACF is the scalar product of a series to itself, taken at some offset, normalised to the modulus of the series ? And it depends on only one variable - the offset. Right ?

What then is a correlogram?

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