First sacred cow: "If the trend started, it will continue" - page 46
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Ah, well, well. TheVilkas, can you give me a link to their writings which state that? That surprises me a little.
Unfortunately I can't, I have these books available, I can only bibliographically,
As for stationarity, here is the EURUSD forecast for two days ahead.
The forecasts are given for MA(5;15;21) - red lines and quote-orange.
It is impossible to correctly calculate the forecasts without their stationary form.
the same currency pair, only it is given predicted confidence intervals for a quote with probability P=0.815
Интересно, где же. "Строгая" стационарность (в узком смысле) - намного более ограничительное условие, чем стационарность в широком смысле. Но даже второй в ценах нет, откуда же взяться первой?
Your answer is clear. I ask "Why do you think differently than TheVilkas?
меня удивляет, что вас это удивляет
Please explain why you think it is possible to find "strict stationarity" in the market?
Please explain why you think it is possible to find "strict stationarity" in the market?
Because it is possible to lead to it.
потому что к ней можно привести
Let's say. Can a practical application be found?
Magnatis, I've written before, I'll say it again:
"Строгая" стационарность (в узком смысле) - намного более ограничительное условие, чем стационарность в широком смысле. Но даже второй в ценах нет, откуда же взяться первой?
What's not to understand? Do you want my reasons for believing that stationarity in the broad sense is absent from the market? It's obvious as it is.
And the "stationarity" that TheVilkas is talking about is made up by himself. Subtracting the Mach from the quotes cancels the trends, but it does not make the series stationary.
Let's say. Can a practical application be found?
Yes, for example for forecasting and for any statistically robust estimates