Market model: constant throughput - page 15
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Yes, it is meaningful and very confused. Now I see only one way to connect the topic with trading. I could go on and on about it for a long time, but it's the way I've been looking at the market - informational - for a long time. But I still have not got around to it. Once again the word "entropy" jogs my memory.
Now I'm going to be carried away :) But I can hardly say anything sensible about compressibility of information. From the point of view of information (perhaps it is the most important content of the topic) the market has not only this characteristic, and personally I am interested in others.
First of all a broad strokes picture. I have already given out the details of it all here on the forum, so it may already be a familiar song to someone. A special thanks in absentia to Simeon Semenych who basically started the whole mess.
So, the first thing, which has been familiar for a long time, but which is the most essential: the main thing in the market is currencies, not pairs . As a consequence, some extremely popular terms can only be applied to currencies and only make sense for them. In particular, for example, the concept of a trend. The trend on a pair is a fiction and gumption for the people. A trend only exists on a currency, i.e. it is the concept of the entire pair market associated with that currency. And the trend on EURUSD is not reliably identified on just one of these pairs, but on all pairs associated with the currency that, in fact, gave rise to the trend. For example, if Ben Bernanke farted, it most likely means that a quid trend is coming, and hence we should look at the quid pairs. (The situation with the flat is much more complicated, but it is better to talk about that later).
Another consideration that confirms the above. Some maths geeks from the locals are well aware that the rate change process of each given pair is very close to a martingale. As we know, when we talk about martingale, we should always keep in mind the information that is available to us. For example, if we consider only EURUSD, we will see almost only martingale in this pair. The same is true for other more or less liquid pairs. So, is it possible to see a trend in a martingale? No, you can't, because it's a martingale!
IMHO: attempts to build a robust TS, using only information about the pair traded, are doomed to failure - simply because we consciously limit the field of view and bury ourselves in contemplation of martingale. I'm not saying that a robust "one-pair" is impossible to build. It's just that it's very difficult.
The situation changes dramatically when we widen the field of view (compare it with the TFDP entry into the complex domain, i.e. into the TFCP: many "non-correlated" integrals became elegantly calculated by means of the apparatus of deduction theory!) So it is 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 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 dependence (or multiple correlation) are the very real and reliably identifiable trends in currencies.
Stop for now, it's bedtime :) We haven't even started talking about tying to the topic of the thread yet. Tomorrow will be more interesting.
What is the point of all this?
Because the market is not just ruled by new information. It changes by 'a certain number of points' and without it. The changes are based on the opinions of the participants about the future and the assumptions of some participants about the actions of others.
You came and went 40 pips later? Having understood the fallacy of their assumptions about the novelty of their ideas (about old information), went to read about the effectiveness of markets?
--
It's not Friday.
why did they leave? did the deal and then left :)
The theory of efficient markets is that it assumes that markets only change in response to new information and take it into account instantly. Which is far from the case. Because there are plenty of people who want to make money from price changes, and so they are forced to make subjective assumptions about future price changes. These assumptions and all they are based on are not considered as "new information", as it is understood in theory of efficient markets. In common parlance it's called sentiment :)
So, the first thing that has long been familiar, but most essential, is that the main thing in the marketplace is currencies, not pairs . As a consequence, some extremely popular terms can only be applied to currencies and only make sense for them. In particular, for example, the concept of a trend. The trend on a pair is a fiction and gumption for the people. A trend only exists on a currency, i.e. it is the concept of the entire pair market associated with that currency. And the trend on EURUSD is not reliably identified on just one of these pairs, but on all pairs associated with the currency that, in fact, gave rise to the trend. For example, if Ben Bernanke farted, it most likely means that a quid trend is coming and hence we should look at the quid pairs. (The situation is much more complicated with the flat, but that's better to talk about later.)
Importers/exporters, swappers, some speculators, etc. don't care what Benya said and they are not trading a basket of currencies. They won't buy the quid for different currencies, they will quite for a specific currency. And they will analyze changes for a specific currency. Central banks, hedgers etc will act exactly as you described. So in some situations the main useful information may indeed be the dynamics of the currency, and in others the pairs.
Z.I. This is not as an objection to the approach, but that the operation and analysis of individual pairs is fundamentally worse than the multi-currency one. Different methods simply.
+100! That's why I started with MT4 with Delphi synthetic and I think I will finish with it - I already have 50% of MT4 synthetic ready - the main problem is data synchronization, data on currencies is shifted or different currencies are trading/demanding with different intensity or at different points in time
Having a high-quality synthetic currency - you can literally trade - 5 minutes a day, because it is an arduous task to calculate which currency has set the movement
+I started with MT4 using Delphi synthetic and I think I will finish with it - I already have 50% of MT4 synthetic ready - the main problem is data synchronization, the data is shifted or different currencies are trading/demanding with different intensity or in different time points
Having a good quality synthetic currency - you can literally trade for 5 minutes a day, because it is an arduous task to calculate which currency is responsible for the movement
thanks to Mathemat the topic has gone to https://forum.mql4.com/ru/15758, https://forum.mql4.com/ru/27705, https://forum.mql4.com/ru/19399 etc.
And you believe that this particular brokerage company, without any cunning, makes synthetic crosses of other instruments on the basis of others?
why should they buy information about all instruments from the supplier, in which case going correctly will not solve your arch-rival problem...
Thanks to Mathemat, it's gone to https://forum.mql4.com/ru/15758
And you're sure that a particular DC, without thinking too hard, makes synthetic crosses of the other instruments, based on the others?
why would they buy information about all the instruments from a supplier, in which case going right you don't solve your arch-rival problem...
It doesn't matter, because my synthetics are not bound to time intervals, but only to the amount of information and the average value, and who forbids me to take ticks in one DC and trade in another - it takes an hour to automate the transfer of commands from one terminal to another
It does not matter, because my synthetics are not bound to time intervals, but only to the amount of information and the average value, and who forbids me to take ticks in one brokerage company and trade in another - it takes an hour to automate the transfer of commands from one terminal to another
the main thing on the market is currencies, not pairs.
With all due respect to you - this is very big economic news. https://ru.wikipedia.org/wiki/%D0%94%D0%B5%D0%BD%D1%8C%D0%B3%D0%B8#.D0.9E.D0.BF.D1.80.D0.B5.D0.B4.D0.B5.D0.BB.D0.B5.D0.BD.D0.B8.D1.8F_.D0.B4.D0.B5.D0.BD.D0.B5.D0.B3
Some abstract object becomes money if it is recognised as some kind of measure in goods and services, i.e. money is always paired with watches, pants and, in particular, other money.
I would like to rejoice you that a certain well-known banker, between the chairs of the Deputy Central Bank and the Chair of the Central Bank, was a member of the Board of Directors in a Commerzbank. Under the patronage of this banker, this bank offered to issue world money. This was done by people in their first year of college who studied the discipline called "Money, Credit, and Banking". You are not alone. A more recent example. The ruble is proposed as the world's currency (how high up is your idea). The trouble is that the ruble cannot be paired with other commodities in the world. They do not recognize it, and basta. We do not even need it on its own, without a pair. By the way, it was like that until the 1990s.
it's true, but who is who (i mean the brokerage firms), that's the question?
I do not know how else to explain it - DC, it does not matter, the important thing is to find the currency that sets the movement and then work with that currency against the others, that is, you calculate that the euro really rose in value - how did you calculate it, no matter how synthetic values, even indexes, even....
So, your task is to buy euros and sell those currencies that have not "moved" in their price or have become cheaper
I've seen about 6 months ago with the same principle, usually one currency sets the trend and the others begin to correct in their prices, that is, the essence of the problem is to look for a moment when a major market player appeared or the crowd rushed after the news