Volumes, volatility and Hearst index - page 7
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Of course, this is true, but the amount of data he worked with does not compare with the amount of data it took to generate the SB in order to achieve a degree of accuracy and precision. Moreover, the size of the intervals into which he partitioned the series of historical data falls at best within the mean with respect to the range given in Table 2. Indeed, if the entire series contains 5 - 10 thousand counts, what intervals can we cut it into? And for such intervals even for a random series the Hurst Index will be more than 0.51. If we compare it to 0.5, even SB has a memory.
No, the market certainly has memory. Except that Peters' methods are questionable. Mainly on three counts: 1. There is no theoretical basis that provides a basis and calibration for comparing calculation results for different cases. 2. The data sets used are too small to provide the necessary level of confidence in the results. 3. In his calculations, Peters has piled up all the fractal levels and assumed implicit stationarity of the series. Under our conditions this has no value or meaning. For example, session cyclicity can make the market return one part of the day and trend the other. And the average will be similar to a pure SB. And what to do with this average?
PS
By the way, thanks for completing the tables. As far as I'm concerned, it's a human thing ? :-)
Gentlemen, volumes can be uploaded, for example, in csv format on the FSP500, Dow Jones, MICEX index, oil and MICEX stocks only it will not be in real time, but let's say with a delay, that is the material for research... and ticks are pampering. Many dealing centres trade cfd contracts on these things, I don't know, can we talk about it here?
Why are ticks pampering? Working with ticks does not mean pipsing or scalping. You can target the longest horizons and still rely on ticks rather than H1 or D1. In the same way that you can choose a period of 3 or 3,000 and it will be a completely different strategy, and the same is with ticks. It is just a primary data source, that's all.
When working with any TF one usually relies on Close (or Open). But this is just a specific sample from the initial price series. If this sample changes the distribution, then why does it help to detect the market trend? And if it doesn't change the distribution, then why the work with ticks is worse, than with candlesticks? Why is the first one pampering, and the second one true trading?
PS
By the way, thank you for completing the tables. I understand this is a human effort ? :-)
Yes, the editor allows you to design inserted tables in a standard style. If you experiment, you'll learn for yourself :)
Why are ticks pampering? Working with ticks does not mean pipsing or scalping. You can target the longest horizons and still rely on ticks rather than H1 or D1. In the same way that you can choose a period of 3 or 3,000 and it will be a completely different strategy, and the same is with ticks. It is just a primary data source, that's all.
When working with any TF one usually relies on Close (or Open). But this is just a specific sample from the initial price series. If this sample changes the distribution, then why does it help to detect the market trend? And if it doesn't change the distribution, then why the work with ticks is worse, than with candlesticks? Why is the first one pampering, and the second one real trading?
I agree.
The second is just an anachronism... of the pre-computer era.
I've said many times that the "bar model" is an outdated attempt to aggregate a time series while retaining information about some of its characteristics within a time frame.
;)
Yes, the editor allows you to design inserted tables in a standard style. If you experiment, you'll learn for yourself :)
Well with the text and background to me it is clear, but how to control the borders of the cell I have not figured out. So thanks again.
Why are ticks pampering? Working with ticks does not mean pipsing or scalping. You can target the longest horizons and still rely on ticks rather than H1 or D1. In the same way that you can choose a period of 3 or 3000 in a wristwatch, and it will be a completely different strategy, and the same is with ticks. It is just a primary data source, that's all.
When working with any TF one usually relies on Close (or Open). But this is just a specific sample from the initial price series. If this sample changes the distribution, then why does it help to detect the market trend? And if it doesn't change the distribution, then why the work with ticks is worse, than with candlesticks? Why is the first one pampering, while the latter is true trading?
Temperatures do not flow from Brownian motion, nor do timeframes flow from ticks. On a neighbouring thread, I gave two pictures to Prival, a known proponent of ticks.
EURUSD30 - 7200 bars
EURUSD60 - 3600 bars
We can see that the frequencies are different. The obvious fact is that Open60[0] = Open30[0] and Close30[1] = Close60[0], while the result of the Fourier analysis is different! But this is only at first glance.
The ticks from which the corresponding timeframes are obtained are all different. Some ticks relate to a pipsqueak investor, other ticks relate to investors with other timeframes. In addition, each tick has different pose sizes behind it (which we don't get). On what basis are we combing all economically different ticks under the same heading? Of course, all timeframes are related. What is trending on one, is correcting on the other.
We can see that the frequencies are different.
It would be surprising - if they matched ...
Have you tried comparing periods?
;)
Table 2b
With random walk, the average run is proportional to the square root of the number of steps. Therefore the result of the calculation a la Hurst, reduced to h = Log(High-Low)/Log(N) or similar, after applying simple arithmetic, reveals the following:
1) High - Low = k * sqrt(N);
2) h = log (k * sqrt(N)) / log (N);
3) h = 1/2 + log(k) / log (N);
4) h -> 1/2 when k << N, which the table proves perfectly.
The Hurst coefficient for SB in the formula High - Low = k * sqrt(N) lies in sqrt. You do think that Hurst for a price series or its derivatives is reduced to the addition of Hurst for SB and some variable that depends only on the number of dimensions?