Zero sample correlation does not necessarily mean there is no linear relationship - page 36
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You're right, it's not!!! a dead end, I checked it myself...
It's a dead end! It's the same way.
How do you apply it?
Well, it's a dead end! They're applying
It's just so you understand a little bit about correlation coefficients before you talk about constructive things.
There is no way to apply it. Either instantaneous estimates of correlations would be of practical value, or on the contrary, on a long sample, but between shifted series. The former are unrealistic to estimate due to the finiteness of the sample, the latter are statistically indistinguishable from zero for all pairs in the market.
is it between x(t) and x(t+1) for one instrument? Is it close to 0?
I was counting - I got quite a big one. Could it be a mistake?
But these models fall back to autoregressive models and they all say the same thing - if the price goes up, it is more likely to go up and less likely to go down.
There's a lot of application, but what's the point? Maybe I overstepped my bounds, back to square one))
If there is an alternative, there really is no point.
Read the definition of stationarity and show how it is absent in the original series and present in the synthetic. Or by stationarity do you mean something of your own as well?
Finally, the terminological bullshit has set in again. It is impossible to prove stationarity from a finite sample. That's what different levels of hypothesis testing are for. I'm not going to engage in theoretical bullshit.
Quote:
Nevertheless, my request to hrenfx stands - to give an example of a synthetic instrument that is supposed to have substantially different characteristics from individual FIs. Purely for research purposes, just to see if the performance improvement actually exists or is a sham.
Isn't a horizontal channel in any area an improvement in performance?
I would like a clear numerical criterion: "The degree of horizontality of the channel was so-and-so for each BP, but we got so-and-so".
ps So on any stretch. =)