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Вы о цене или о приращениях?
There is no difference. In both, the first torque is zero.
In both cases the first momentum is zero.
For the price case, please elaborate and give a numerical example.
Вы о цене или о приращениях?
>>Yes, about price.
First and most obvious, constancy of the mean + no "fat tails" in the distribution. In this case, nothing needs to be predicted.
This is not possible.
p.s. When they talk about distribution tails (in our context) - they usually mean distribution of increments.
Чтобы положить конец утверждениям что первая разница цен стационарна, написал прилагаемаый индикатор теста стационарности в широком смысле. Он работает таким образом
What is this method, I can't find out. It seems to be "statistically unreasonable" () :o) Many methods are based on splitting a series into a bunch of segments and investigating the behaviour of the parameters of the segment distributions relative to each other. Roughly speaking, they simply investigate whether there is a trend (by other criteria) between a number of parameters. And the point is that these segments should be a lot, it's just impossible to understand if there is a trend between two samples or not.
By the way, I'm sure that if you take a generated stationary random series, you can get its non-stationarity under some circumstances.
What's the method, I can't find out.
Wikipedia - "stationarity". End of third paragraph. Very similar.
Для случая цены - пожалуйста, поподробнее и с численным примером.
In your opinion, is the first moment of the price different from zero? Numerical examples? Yes, it is a loss of your deposit at the same price, because your expected profit is equal to a bagel minus the commission - you can check if you want.
Do you think the first moment of price is different from zero?
OK. See the wikipedia page on "sample moments". It turns out that the first moment is the average of the whole sample. Let's conduct a numerical experiment. Let's take the eurusd m15 quotes for the period of 01.01.1999 - 16.11.2009 and calculate the average. I got 1.18.
Can you explain this result?
Это невозможно.
p.s. Когда говорят о хвостах распределения (в нашем контексте) - обычно имеют ввиду распределение приращений.
Ок. Смотрим в википедии страничку "выборочные моменты". Получается, что первый момент - это среднее всей выборки. Проводим численный эксперимент. Берем котировки eurusd m15 за период 01.01.1999 - 16.11.2009 и считаем среднее. У меня получилось 1.18.
Объясните полученный результат?
Because the ratio of currencies (and not only them) will never go into negative territory. What does the absolute price scale have to do with it? Add/drop to/from 1.18 even a billion - the first moment SB will be zero. Your expected profit is 11800 pips? - Great! Well, that's what I'm saying - "it's time for you to chop."