Obtaining a stationary BP from a price BP - page 20
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I mean Vasya, you mean Petya. I mean white noise, which can be practically corrected for volatility. The signs of the white noise values are unpredictable. Give me the definition of an ideal series. i.e. if we reach the idiom and put a bollinger on a stationary process with period 2, then the series will already be non-stationary and non-ideal, right?
which series are we talking about in the highlighted case, that is, what series we have in your case, or it's just the prices of recent transactions of financial instruments?
the real one))) If you determine with some certainty that it is a white noise, for example, based on the evaluation of some parameters, it does not mean that it is not locally predictable and you cannot make profit on it. You cannot make money on an ideal series where results of observations are independent by definition. I.e. it is assumed that there are no dependences and that's it. These are theoretical definitions from probability theory. This is not true for real series and the shape and parameters of the distribution do not give an unambiguous answer that there are no dependencies.
about the real thing)))
>> which one?
Specify which one?
Any real one. For example, the transaction prices of a financial instrument.
And in fact, the autocorrelation estimate is as follows (and even then, very imprecise, without calculating confidence intervals and stuff)
The difference is impressive...
about any real thing. For example, the transaction prices of a financial instrument.
Do the financial instrument(s) have a name, or are you just assuming that there are such local patterns on any?
Do the financial instrument(s) have a name, or are you just assuming that such local patterns exist on any?
>> yes, not excluded on any.
>> yes, not impossible on any
Can you prove your assumptions?
On the real series ... the shape and parameters of the distribution do not give an unambiguous answer that there are no dependencies.
I think the statement is very definite and quite correct. It does not suggest any evidence that such patterns exist.
Can you prove your assumptions?
1)I think the statement is very definite and quite correct. It does not imply any evidence that such a pattern exists.
2)Can you prove that there are no such regularities ?1)Let's not wiggle from side to side and make such series as "It supposes that it supposes nothing". Well if you have decided to take fire on yourself (not just to fluff, really), then the question of proof of local regularities on random walks comes to you too.
2)And for those in the tank, it's already been said for me 500 times. The answer is yes, I can.
Can you prove your assumptions?
Generate a series according to any of your requirements - white or any other noise. For example, minutes. Let's change that every Thursday at X hours by a deterministic relationship - any, for example, that if the previous minute candle is black, then the next hour will be shifted down by Z points. We analyse the changed increments - all the same noise. But it is not only real, it is a real grail)))