Put in a good word about the occasional wanderer... - page 15
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No, there are no Markov chains being built. It's just a dumb search for dependencies. And just by it I concluded: the return sequence is not Markovian.
then sorry. :) I'm confused.
And the return conditions of an oscillating rambling are the most curious...
;)
are the options evidence of this?
Is the random straying in price what we are seeing? And the presence of "fat-tailing" was supposedly refuted by SB.
But no - as you can see.
And as for the evidence of SB's inability to make money, I cannot judge. Bring it - it will be useful to me, and other adepts of earning on Fora.
;)
The presence of thick-tailed SB does not refute it, but it is a sign of the non-stationarity of the series. Options, like any other market, do not follow a random walk, but the basic Black-Scholes model for estimating the fair value of options is based on finite variance and as a consequence the stationarity of the series. From this we can conclude that the models, due to their limitations, only roughly describe a particular component of the market, which in itself is not a sufficient condition for stable earnings in the market.
As for the proof of earnings on SB, you yourself in one form or another bring this proof with your models. If it were possible to make money on SB stably and in perpetuity, the models you develop would allow you to do so, but this is not the case. Conceptually, it is impossible to earn on SB, because any random series or its part, as well as any combination of these series, has a finite entropy, and in this case, there are no possibilities to extract a deterministic process, because if such process existed, it would affect an entropy value of random walk, but it is not so, because the entropy of random process is constant, maximal, stationary and finite.
The presence of thick-tailed SB does not refute it, but it is an indication of the non-stationarity of the series. Options, like any other market, do not follow a random walk, but the basic Black-Scholes model for estimating the fair value of options is based on finite variance and as a consequence the stationarity of the series. One can conclude from this that the models, because of their limitations, only roughly describe this or that component of the market, which in itself is not a sufficient condition for stable earnings from it.
As for the proof of making money on SB, you yourself in one form or another give these proofs with your models. If it were possible to earn consistently and in perpetuity on SB, then the models you develop would allow you to do so, but this is not the case. Conceptually, it is not possible to earn on SB, because any random series or its part, as well as any combination of these series, has a finite entropy, and in this case, there are no possibilities to extract a deterministic process, because if such process existed, it would influence by its finding on the value of entropy of a random walk, but it is not so, because the entropy of a random process is constant, maximal, stationary and finite.
A proof is required, not general reasoning. Or a reference to it.
That said, the proof should not require(or assume) that we are continuously trading. That's one.
And secondly, we should not use the fixed win hypothesis - with the correct entry.
Wait for it.
;)
Proof is required, not general reasoning. Or a link to one.
This is the proof. To win consistently, you need a probability above 50%. The only way to get that probability is to use a deterministic process. If you know that a hurricane is expected tomorrow, that means that it will not happen by itself, but as a consequence of a powerful cyclone. So there is a definite cause-and-effect relationship between today's events and future events. By generating your SB you know exactly that there is no such connection and therefore there is no determinism, which in turn means that it is impossible to obtain a probability greater than 50%.
In turn, I would ask you to present a strategy capable, at least theoretically, of obtaining a probability above 50% without using a deterministic process. After convincing presentation of the theoretical properties of such a strategy, I myself will fill in an application to you for the Nobel Prize. Don't offer any crap like finite samples and SB with positive MO.
This is the proof. To win consistently, you need a probability above 50%. The only way to get that probability is to use a deterministic process. If you know that a hurricane is expected tomorrow, that means that it will not happen by itself, but as a consequence of a powerful cyclone. So there is a definite cause-and-effect relationship between today's events and future events. By generating your SB you know exactly that there is no such connection and therefore there is no determinism, which in turn means that it is impossible to obtain a probability greater than 50%.
In turn, I would ask you to present a strategy capable, at least theoretically, of obtaining a probability above 50% without using a deterministic process. After convincing presentation of the theoretical properties of such a strategy, I myself will fill in an application to you for the Nobel Prize. All sorts of crap like finite samples and SBs with positive MO do not propose.
Ditching counts.
I also advise you to read the rules for nominating for the prize and decide on your status.
Candidates for the Nobel Prize can be nominated by: Nobel Prize recipients, respectively, in their fields; members of Nobel Prize institutions and members of Nobel Committees in the relevant fields; university professors in the various fields of science or persons specially invited by the awarding institutions; presidents of representative authors organisations (literature); members of certain international parliamentary or legal organisations (peace prizes); members of parliaments or governments (n
Are you already a laureate?
;)
Are you already a laureate?
Five minutes to go.
But you don't have to worry about other people's difficulties. Better concentrate on a conceptual EA that trades at a profit and does not exploit the determinism of the process. I'd like to hear at least a couple of general phrases in what area this miracle is digging.
Five minutes to go.
But you don't have to worry about other people's difficulties. Better concentrate on a conceptual EA that trades at a profit and does not exploit the determinism of the process. I would like to hear at least a couple of general phrases in what area this miracle is digging.
I think a "hell of a mix" of arcsinus law, 33 wipers, a relatively short stop and a proper trawl is the way to go.
;)
Pity the price doesn't quite live up to the SB.
"The reality is completely different than it actually is". Antoine de Saint-Exupery.
A proof is required, not general reasoning. Or a link to one.
There must be no requirement(or assumption) in the proof that we are continuously trading. This is one.
And second, we should not use the fixed-win hypothesis - with the correct entry.
Wait for it.
;)
The proof is simple - the equity of any system on the SB will also be SB, because the equity is the incremental price in the areas where the trade was made, and they are by definition SB. In other words, any slices of random walk are random walks.