The interaction of markets. - page 12
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3. Если корреляция близка к 1, и X изменился, можно предположить что Y тоже изменится. Справедливо и обратное, поэтому никаких ведущих ведомых не существует.
4. Между всеми рынками акций корреляция >0, потому что все страны между собой взаимосвязаны экспортом-импортом.
5. Предположение, что есть ведомые и ведущие в акциях так же нелепо.
3. The highlighting is a bit of a stretch. Naturally, if we calculate correlation without a time shift, i.e. I(0), it is impossible to detect the presence of "masters" - "slaves". Once again, there is a VAR(p) model for this purpose.
4. The sea of dough revolves in statistical arbitrage and paired trading - this is the main cause of correlations.
5. Maybe not in stocks, but in indices... It is ridiculous to constantly assume and guess something depending on the mood, when you can calculate everything in numbers.
3. I have drawn out the highlighted by the ears. Naturally, if you calculate the correlation without a time shift, i.e. I(0), it is impossible to detect the presence of "leaders" - "slaves". Once again - there is a VAR(p) model for this purpose.
4. The sea of dough revolves in statistical arbitrage and paired trading - that is the main reason for correlations. For example on May 6 - instantaneous collapse of the major stock indices, export-import of what, jeans from China?
5. Maybe not in stocks, but in indices... It is ridiculous to make assumptions and guess things depending on the mood, when you can calculate everything in numbers.
3. You're the kind of guy who explains maths with economics and I... economics with maths. Feel the difference?
4. A sea of dough blah blah ... unsubstantiated claims.
If you explained the collapse of May 6 by steam trading or arbitrage - YOU ARE THE IDIOT. But you're not alone :) (hmm, that's a good one)
A bunch of morons started screaming about high frequency trading that led to this development ... without understanding the essence of arbitrage, let alone pair trading.
I think the reason for this collapse was the statement by one of the Fed members that the main thing for the Fed should be the fight against inflation - the consequence of raising rates, well the markets got fucked up. That's all :)
What has export-import got to do with it ... You want to show off? ;)
5. You can have Mashka by the thigh, but you can't have that either.
Если ты объяснил обвал 6 мая парным трейдингом или арбитражом - ТЫ ИДИОТ. Но ты в этом не одинок :) (хм, неплохо получилось )
1. Correlation is a consequence, not a cause. If it is close to -1 or 1, then there is some reason why the two series are related.
2. Correlation formula R(x,y) = COV(x,y) / ((D(x)*D(y) )^1/2) - so the correlation depends only on row x and y, with the first numbers in the row contributing to R exactly the same as the last. What does it mean? That recalculating the correlation within a day is a futile exercise altogether.
3. If the correlation is close to 1, and X has changed, we can assume that Y will change too. The opposite is also true, so there are no leading slaves.
4. There is a correlation >0 between all stock markets because all countries are export-import related.
Almost all currencies have a correlation with the dollar and yen < 0, because the dollar and yen are considered the lowest risk currencies, and when economic conditions deteriorate investors go into these currencies, hence when economic growth (even if it has started in the US) risky currencies rise.
The Dow goes up, xxx/USD goes up, and USD/xxx goes down
But you cannot make money on this - because correlation will not answer the spread between them, and in general, in economics, in this damn pseudoscience based on your stupidity and greed, nobody owes anybody anything, and if they do - it is recouped so fast that you and your mt4 will be the last.
I calculate the Dow even half an hour before the NYSE opens, and during trading my calculation is more accurate than the exchange itself calculates it, but that does not give me an advantage. Basically, that's why I told you, because it doesn't :)
5. The assumption that there are slaves and leads in equities is just as ridiculous. Of course the correlation within an industry is stronger than between different stocks in different industries. So a strong report comes out for Sber, WTB bounces back at the same time as Sber, and the opposite is also true. What's more, the americans release reports after trading and everything bounces right back on the open.
What are the ways to profit from the markets? Technical analysis? Fundamentals? Anything else?
1. Корреляция – это следствие, а не причина. Если она близка к -1 или 1, значит есть какая-то причина почему два ряда взаимосвязаны.
2. Формула корреляции R(x,y) = COV(x,y) / ((D(x)*D(y) )^1/2) – итак, корреляция зависит только от ряда x и y, при этом, вклад в R первые числа в ряду вносят точно такой же что и последний. Что это значит ? То что пересчитывать корреляцию внутри дня вообще бесполезное занятие.
3. Если корреляция близка к 1, и X изменился, можно предположить что Y тоже изменится. Справедливо и обратное, поэтому никаких ведущих ведомых не существует.
4. Между всеми рынками акций корреляция >0, потому что все страны между собой взаимосвязаны экспортом-импортом.
Почти все валюты имеют корреляцию с долларом и йеной < 0, так как доллар и йена считаются валюты с самым низким риском, и при ухудшении экономической ситуации инвесторы уходя в эти валюты, следовательно, при экономическом росте (даже если он начался в США) растут рискованные валюты.
Растет доу, растут xxx/USD, и падают USD/xxx
Но, заработать на этом нельзя – потому что корреляция не даст ответ какой должен быть между ними спред, и вообще, в экономике, в этой чертовой лженауке, основанной на вашей тупости и жадности, никто никому ничего не должен, а если и должен – это отыгрывается так быстро, что вы со своим мт4 будете последними.
Я рассчитываю Доу еще за полчаса до открытия NYSE, да и во время торгов мой расчет более точный, чем его рассчитывает сама биржа, но это не дает мне преимуществ. В принципе, поэтому и рассказал, потому что не дает :)
5. Предположение, что есть ведомые и ведущие в акциях так же нелепо. Конечно, корреляция внутри отрасли сильнее, чем между разными акциями разных отраслей. Ну вышел сильный отчет по сберу, втб отскочит одновременно со сбером, справедливо и обратное. Более того, амеры выпускают отчеты после торгов, и все отыгрывается сразу при открытии.
OH, THE GREAT ONE!
We are nothing compared to you! Your wisdom knows no bounds! But thy puny disciples have questions. Come down to them and enlighten them:
1. deep thought. By this you, the GREAT one, meant to express the idea that correlation is a measure of a statistical relationship between two or more indicators.
2. excuse me, oh MASTER, your lowly disciples - what does it mean that recalculating correlation within a day is a useless exercise? What does it mean useless? Incorrect? And why? And for which timeframes is it correct? And what does useful correlation calculation mean? How is it applied? What if I calculate the correlation for H1 and it appears to be high (0.7-0.9)? Is it useless?
3. Deep is your wisdom! But in my nothingness I would say even more categorically - if the correlation between X and Y is close to 1, then when you change X, Y will not just change, but will change at a rate VERY BLUE to the change in X (close to unity 0.95-0.9999999).
4. I do not even want to write about it. The fact that financial and commodity markets are interconnected - awaits the zlozschrtsudl3amrshsh3g!!!!!!! Your students were told about this in their first year at university. Thank you, oh MASTER, for the reminder.
5. The Dow is going up, xxx/USD is going up, and USD/xx is going down- you are testing us, oh MASTER! You know that this pattern of market behavior is typical mainly in times of crisis! And before the crisis, this dependence weakened considerably, and sometimes had the opposite sign in some currencies!
6. But, one cannot make money on this - oh MASTER! And why, in point 2, was it reassuring that the calculation of correlation for timeframes above a day was WAY off? MASTER has learned the depth of trading, its past, present and future and from this concluded FUTURE? Is the MASTER sure? Or maybe it's just his opinion? Or maybe you should have written "I think so, I think so"?
7. The assumption that there are slaves and leads in stocks is just as ridiculous. Of course the correlation within an industry is stronger than between different stocks in different industries. So a strong report on Sber comes out, WTB bounces back at the same time as Sber, and the opposite is also true. Moreover, americans release reports after trading and everything bounces right back on the open. - Did MASTER find Sber in MT4? MASTER wrote all this for the stock market? And for forex?
Forgive me, MASTER, your lowly disciples! Do not leave them without an answer at this difficult time for them! Enlighten them further.
In fact - we expected specifics from you, not formulas of correlation and telling us which currencies are refuge currencies. Be specific!
4. Между всеми рынками акций корреляция >0, потому что все страны между собой взаимосвязаны экспортом-импортом.
I'll even tell you this, O GREAT, in today's world it is virtually impossible to pick up two numerical series characterising real processes with correlation = 0. Everything in this world is interconnected. Correlation can be found between the dynamics of the temperature of a cough patient in Tsuryupinsk hospital and the graph of the Euro on the forex, O MUDRY
5. Dow rising, xxx/USD rising, and USD/xx falling- you're testing us, O MASTER! You know that this pattern of market behavior is mostly a characteristic of times of crisis! And before the crisis, this correlation weakens a lot, and sometimes has the opposite sign in some currencies!
These are exactly the patterns that interest us. Could you tell us more about the commodity markets in more detail?
Вот именно эти закономерности и интересуют. Нельзяли побольше да поподробнее, про сырьевые рынки тоже интересно.
a miracle, a miracle! Brothers and sisters! A great miracle - in a ring of fire the Master appeared before me and said:
You foolish fools! Truly, I say to you, before the crisis, certain investors invest in assets of the countries whose stock indices are rising. They buy the currencies of these countries. When the Dow is rising, they buy the dollar. Although before the crisis, the negative correlation between the Dow and EURUSD was an isolated incident. Before the crisis, it was usually a weakly positive correlation.
So said the MASTER and disappeared in smoke and flames.
Вот именно эти закономерности и интересуют. Нельзяли побольше да поподробнее, про сырьевые рынки тоже интересно.
later the MASTER reappeared and added - and during the crisis the stereotype of investor behaviour has changed. The US is seen as the engine of the world economy, so the rise in the Dow is seen as a signal that the world economy is coming out of the crisis. Investors are starting to get out of the dollar cash and into risky currencies.
After that the MASTER sneezed and disappeared in soot and chad.....
И вообще, о МАСТЕР, чего ты уцепился в корреляцию? Жги про взаимодействие рынков!