Volumes, volatility and Hearst index - page 8
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It would be surprising if they did ...
Have you tried comparing periods?
;)
I don't understand how to the common base. Reece, I argue that you can't get another from one period. What are you talking about?
I don't see how to the common base. Fig. I'm arguing that you can't get another from one period. What are you talking about?
frequency = 1/period. If you shortened the series by skipping every other observation, what happens to the frequencies?
;)
frequency = 1/period. If you shorten the series by skipping every other observation, what happens to the frequencies?
;)
In my figs it is the period, not the frequency. I analyse 3600 candles for H1 and 7200 for M30, i.e. I analyse the same time frame. The peaks in the rics correspond to the 'optimum' swabs and they are different.
Let's take the same number of candlesticks.
EURUSD30 - 3600 bars
EURUSD60 - 3600 bars
The difference is even larger, which does not surprise me, because we have taken a part of timeframe, and trends are different in parts and in the whole.
In my figs it is the period, not the frequency. You analyse 3600 candles for H1 and 7200 for M30, i.e. you analyse the same time frame. The peaks in the figures correspond to the 'optimal' swabs and they are different.
Let's take the same number of candles.
EURUSD30 - 3600 bars
EURUSD60 - 3600 bars
The difference is even greater, which does not surprise me, because we have taken a part of time interval, and trends are different for a part and for the whole.
it doesn't surprise me one bit.
To understand the subject you should feed this program with pure sine wave data with a frequency of e.g. 0.025.
then remove every other observation. The spectra will be different... And so will the periodogram. because the number of "minutes" in the new period will be twice as many.
;)
With random walks, 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 perfectly confirms.
1. What do you think constitutes "average mileage" ? A definition is desirable.
2. Where does the formula 1) come from ? What is the coefficient k ? Is it what you call the "Hurst coefficient" ?
4. The k coefficient does not appear anywhere in the table, and the fact that according to the results of this table h -> 1/2 is only a consequence of the fact that pure SB is considered. The asymptotic tendency to 1/2 can hardly be called a happy fact, since the case of SB is only a boundary case on which one can check the calibration. As a result of this check it turns out that we can only get 1/2 for the Hurst exponent asymptotically, in the limit of large N. Do you think this will work in practice?
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 measurements?
I don't know where you got that formula from, but the Hearst figure isn't there.
And what I am counting, unfortunately, you have not understood at all. However, if it was a question (there was an unexpected question mark at the end of the affirmative sentence :-), I can assure you - it never even occurred to me.
This doesn't surprise me one bit.
To understand the subject you should feed this program with pure sine wave data at a frequency of e.g. 0.025.
then remove every other observation. The spectra will be different... And so will the periodogram. because the number of "minutes" in the new period will be twice as many.
;)
This is a spectrum analyser. By feeding in a sine wave, I get its period and that's it. I'm sorry, but that's all for today. Good luck with that.
This is a spectrum analyser. By feeding in a sine wave, I get its period and that's it. I'm sorry, but that's all for today. Good luck with that.
But it doesn't surprise you at all that if in the first row its period is 40 and in the second row only 20...
And good luck to you.
;)
Temperature does not flow from Brownian motion, and timeframes do not flow from ticks. On a neighbouring thread, I gave two pictures to Prival, a known proponent of ticks.
I do not share your point of view. But I will not argue, to each his own.
As for your way of using FP, it's a complicated case. I hope FreeLance will be able to explain to you why it should not be done that way.
My rice has a period on it, not a frequency
This program appears to measure the period in pcs(bars) rather than minutes.
yes. it's not a spectrum, it's a periodogram. but the researcher didn't bring the different things to a common denominator...
Hence the hasty conclusions.