Market model: constant throughput - page 17

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sanyooooook:
So you need new information to resolve the current situation?


Mm-hmm, you need to keep the momentum going otherwise, as you say,

Why is it not profitable to take out all the stops at once, and when new positions appear, to take them out by a stop?

This is the market, to make a profit, you need constant price movements, a very good example is AvtoVAZ, everyone shakes it up, and at the end of the year it is loss-making, but during the year it is profitable for everyone to deal with the stock

 
sanyooooook:
If the market now knows who has what positions, i.e. it sees the whole picture, why would it not be profitable to remove all stops in one go, and when new positions appear, take them out by stop?

Because he has market orders/stops against limit ones. To move the market anywhere we need money to satisfy all of the orders against (limit) movement. And this is regardless of the market and trading organization - be it stock market, quoted markets or trading via hand to hand. There are those who offer a trade at their price and those who accept it. The market does not care where the positions are - its task is to let the participants trade to the maximum. That is, to maximise turnover.
 
The current situation is static, no new orders (no information received) - no movement, new orders (information received) - a new price movement, I agree with the idea - dickfix: new information - new movement.
 
sanyooooook:
The current situation is static, no new orders (no information received) - no movement, new orders (information received) - a new price movement, I agree with the idea - dickfix: new information - new movement.

If there are no new orders, of course the price will not change. This is trivial and at the heart of the trading organisation. If you cut off all communication channels with the MICEX server, the price will not change :) There is no point in discussing it. New information is usually (e.g., effective markets theory) understood as news, rumors, etc. - publicly available non-price information relating to the issuer.
 

I've always said that forex is not a train, it's a helicopter.

A passenger helicopter with ten steering wheels, a bunch of pilots of different nationalities on the fly trying to argue about where-to-fly-where-to-fetch-where-to-drop-off, a bunch of conductors who also work as pickpocket thieves, a bandstand, a dance floor and a planetarium between which a bunch of passengers are rushing around and making pilots uncomfortable.

Such is the market model.

 
gip:

I've always said that forex is not a train, it's a helicopter.

A passenger helicopter with ten steering wheels, a bunch of pilots of different nationalities on the fly trying to argue about where-to-fly-where-to-fetch-where-to-drop-off, a bunch of conductors who also work as pickpocket thieves, a bandstand, a dance floor and a planetarium between which a bunch of passengers are flying around and adding to the pilots' discomfort.

That's the market model.



It's like a wikipedia article.

Only at the end after the word "...market" and the dot, you have to add "Fuck". To prevent possible doubts and interpretations by the readers

 
Mathemat: The situation changes dramatically when we widen the field of view [...]. We still see almost perfect martingales on each pair that are independent of each other (what we see is that they are uncorrelated), but at some point in time, however, some of these martingales associated with a given currency suddenly realign and turn into highly correlated ones. These moments of dependency (or multiple correlation) are the most real and reliably identifiable trends in currencies.

Trying to recover a lost post.

The word "almost" is crossed out now, there was no crossing out in the original text. Now we move smoothly to the connection of all this nonsense with the information.

Let's assume we are waiting for a momentum in the yen: rumour has it that the BOJ is going to intervene to weaken the weak yen. OK, according to Semenych's methodology, we look at all yen-dependent pairs. So far everything is the same as in his articles.

Then we start counting. Semenych takes the sign of the pair, recalculates it to what the yen is doing in this pair, and then sums all these signs for all JPY-pairs. It turns out a kind of yen index. To distinguish it from what is usually called an index, let's call it, say, the yen momentum index. Now we have some questions:

  1. Why does Semenych add up the individual signs to get the momentum index? How feasible is this from a statistical (or, roughly the same thing, information) point of view? Is it possible to come up with a reasonably reasonable measure of currency movement that is functionally distinct from the simple sum of pair signs?
  2. Where does the sign of a pair movement come from? According to Semenych, any movement, even the smallest one, is still recorded as non-zero. Logic, however, suggests that there is some threshold below which the motion cannot be considered significant. How to correctly calculate this threshold?

If anyone has become interested, I suggest you ponder these questions. The answers I have given myself will appear here with a slight delay.

 
Mathemat: It is the same here: we still see almost perfect martingales on each pair that are independent of each other (what we see is that they are uncorrelated), but, however, at a certain point in time a part of these martingales associated with a given currency suddenly rebuilds and turns into strongly correlated ones. These moments of dependence (or multiple correlation) are the very real and reliably identifiable trends in currencies.

What, Alexey, is there hope for stationarity (quasi-stationarity) on this process? I am sure that this question needs to be investigated and in all probability, the time required to reliably detect multiple correlations is comparable to the characteristic lifetime of the correlation itself. I.e. we again come to martingale, but already on currencies. It is clear that the dick does not get any better.

Or is there more to it than that?

 
MetaDriver:

As far as I understood from browsing the thread, the candles were being squeezed.

The absolute increments of "price" were being compressed. Mentioned earlier that other options were considered. But after a bit of experimentation, the best option in terms of compressibility of those tested was chosen.
 
Mathemat:

So, the first thing that has long been familiar, but most essential, is that the most important thing in the market is currencies, not pairs . As a consequence, some extremely popular terms can

Disagree. If you replace the word "currency" with "potato", it sounds even more dubious.

To measure an object, you have to have a unit of measurement. Length can be measured in metres or inches. Weight in kilograms or pounds. EUR in USD or JPY.

Often in physics problems, there are situations where, for example, length is not important. And to simplify logic, it is taken as a unit (kilometres or feet - it doesn't matter. The main thing is that the other quantities are measured in the same units). So you can take the same EUR always as a unit.

In general, you can't measure anything without units.

P.S. Of course, you can also measure USD in potatoes.

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