[Archive!] Pure mathematics, physics, chemistry, etc.: brain-training problems not related to trade in any way - page 387
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
He didn't have Mt4 and MQL...And the forum.
;)
...
Let me interject a little with your permission. The calculation of the Hurst index is well described by Shiryaev and from an artistic point of view, he was not dealing with "Nile" as such, but with tributaries of Nile (increments, i.e. what forms the process called - Nile). Where was I going with this? Ah! Never mind - this is a lyrical digression in general.
To calculate Hearst's exponent by the spread method is pointless, it's very crude and the estimate comes out with a very big bias (about 20-30% error - just easy). There are two good methods:
Let me interject a little, with your permission. The calculation of the Hurst index is well described by Shiryaev and from an artistic point of view, he did not deal with the "Nile" as such, but with tributaries of the Nile (increments, i.e. what forms the process called - Nile). Where was I going with this? Ah! Never mind - this is a lyrical digression in general.
To calculate Hearst's exponent by the spread method is pointless, it's very crude and the estimate comes out with a very big bias (about 20-30% error - just easy). There are two good methods:
Have you tried these methods yourself, do they give you anything? Especially interesting, of course, is what works locally.
I've been doing fractal analysis for quite a long time and have tried many things. Unfortunately, a virus ruined most of the material, but I've stopped getting upset. Someday I'll get myself together - and repeat the most valuable achievements :o) Wittle's method I've even converted to MathCAD, and wavelet-based method is implemented in MathLab, where I've studied it.
Only, why do you need this indicator? It has a very vague predictive property (). That is, even the calculated exact value of 0.8 (even with the confidence interval) will not tell you anything about the "trendiness" that will last and how many counts this condition will stay the same, and will not answer the main question - where the trend will move. Moreover, this indicator calculated using historical series demonstrates only "the propensity" and even a process with trendiness can really show a different behavior than expected (it will just happen) and, what is the most disappointing, "can't be falsified".
For a meaningful estimation the probability is needed, and it means that we should consider the quote as a multifractal and build a "singularity spectrum".
And an entirely unpleasant characteristic is the, literally, "catastrophic" dependence on sample length.
Heck, it's Hurst that crawls out on the forum on a regular basis. Maybe someone can explain to me what predictive value it has?
in fact - none. Did you get it? :о) But it is useful in modelling processes.
ADDENDUM: the only practical value that's hard to automate is analysing the shape of the graph in log-log coordinates. You can clearly tell which part of the series corresponds to a power law, and you can "formally" enter a "memory length" value. And this is valuable. Otherwise they start counting regressions, and often in places where it does not make sense(sometimes, well, the behavior of increments does not correspond to the power law, such as forex).
Farnsworth:
And an entirely unpleasant characteristic is the, literally, "catastrophic" dependence on sample length.
Yes, the definition of sample length seems to be the key point in the vast majority of approaches.
Multifractals - hmmm. perhaps, there seems to be an indication that this concept is more adequate, and so does the authority of Mandelbrot.
Yes, the definition of sample length seems to be the key point in the vast majority of approaches.
Multifractals - hmmm. maybe, there seems to be an indication that this concept is more adequate, and so is the authority of Mandelbrot.
Bloody hell, this Hurst crawls out on the forum on a regular basis. Maybe someone can explain to me what predictive value it has?
=0.5 random wandering in noise.
<0.5 is even worse - noise randomly wanders :)
>0.5 there's hope about memory...
>0.79 is naturally natural
To be honest - I don't understand what you're doing and what's the point of it all?