That's interesting - page 18
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I have a hypothesis. Probably a legacy from my programming past.
although I don't think you have the time.
Well let's find it, it really isn't complicated - if you take into account the caveats pointed out earlier. I.e. the column doesn't necessarily have the same time (no synchronization, just a stream of minutes, one line per week). Consequence: each week will have a different number of minutes, i.e. columns in Excel.
Market model
After a long search, as a working version of the market model, I have adopted this thing "control systems with random structure". In my opinion (though not mathematics) - this model adequately describes the quoting process with all its intricacies.
Its essence is very simple. There is a finite number of structures that describe the transformation of input into output. Each such structure implies some model according to which the transformation takes place. The observed process is formed by a transition (switch) between the structures. All this is shown in the picture below:
Each model has a set of parameters, which can also change with each switching.
Bah, that's almost my piecewise determinism :).
In fact you certainly have it all wrong, i.e. according to the picture it looks like that, but according to the explanations it doesn't look like that at all :)
Is the lifetime of structures somehow involved in your model?
By the way, you use term model both for description of approach in general and for description of your structures, imho it is necessary to separate somehow (at least by separation, that) otherwise confusion is possible.
Farnsworth:
Market model
After a long search, as a working version of market model, I have adopted this thing "control systems with random structure". In my opinion (though not mathematics) - this model adequately describes the quoting process with all its subtleties.
Its essence is very simple. There is a finite number of structures that describe the transformation of inputs into outputs. Each such structure implies some kind of model according to which the transformation takes place. The observed process is formed by a transition (switch) between the structures.
There are no independent factors in the market that would completely ignore information about other pricing factors, including the current state of the market.
So an assumed model consisting of completely independent components looks like an obvious utopia and cannot reflect reality in any way.
. And how do you want to solve the problem of identifying "chunks", on a time series, if the time series is a martingale?
I have not been working with those guys and they do not want to ruin your mood. And in general I work with cunning transformation, and there are some reasons to assert that the resulting process is not martingale. I use fractal analysis and pnn network for classification (I've done it recently). Classification of structures is the hardest part and frankly I can't boast of "beauty of lines"
. A study of the revelations of a group of non-randomly successful traders, quite solid in numbers, indicates that this is the case. The rare tales of fortunate traders with a sophisticated mathematical apparatus remain unconfirmed. By the way, it's not just my observation, someone else on the forum noted it.
The market will take it all back if any of the lucky traders stay in the market longer than necessary. And thechanalysis doesn't work and is nonsense. I can't help but kick it on occasion. It's worth a lot of money.
I must have misinterpreted this:
Come up with some other torture that isn't so sophisticated. :-))
Well, you're right, it's kind of a promise. So you take the pledge... OK, make it up.
Why can't you read the lines day by day instead of week by week? Every five days is a week.
Suppose we have some data - a finite BP of length N. The point of the model is to describe the behaviour of the VR with parameters much smaller than N. Otherwise, any VR can be represented as N sinusoids, and this, of course, would be a bussymap. Regularities in VR are always described by fewer parameters than the original N.
In one thread I talked about the notion of "information" as the minimum number of parameters describing BP. But I won't go back into the terminological discussion.
Regarding your quote above. A market model as a set of sine waves is not a model. So anything can be said to be a set of sine waves and you won't be wrong. A tree is also a set of sine waves. Only to describe the tree with sine waves, you will need to use as many sine wave parameters as you would if you wanted to describe the tree with polynomials.
I.e. "a set of something" is a model, but a lousy one.That was the simplest example, which I think shows some non-obviousness of the method. Anyway, need to think about your suggestion.
I have a hypothesis. Probably a legacy of the programmer's past.
I don't remember such a programming language... However, there were a lot of them, a lot of them.
Well let's find it, it really isn't complicated - if we take into account the caveats mentioned earlier. I.e. the column doesn't necessarily have the same time (no synchronization, just a stream of minutes, one line per week). Consequence: each week will have a different number of minutes, i.e. columns in Excel.
I'll look around on my own, and if I don't succeed, I'll be begging you.
Farnsworth:
And tehanalysis doesn't work and is nonsense. I can't help but kick it on occasion. It is worth much too much.
Technical analysis is a wide notion that includes at least the basics of arithmetic. So you're going to deny arithmetic now?
Well, they did not deny it even in the Stone Age. :)
Bah, that's almost my piecemeal determinism :).
In fact you certainly have it all wrong, i.e. from the picture it looks like, but from the explanations it doesn't look like at all :)
By the way, you use the term model both to describe the approach in general and to describe your structures, imho, it is necessary to separate somehow (at least by separation, that), otherwise a confusion is possible.
The term 'market model' is well-established and I think everyone understands it. Well, "model" in "model" is a simplification. A structure implies something more, i.e. the presence of interrelated components. I can no longer cope with such complexity and simplify everything. Models can be anything, regression classical, discontinuity regression, fractal regression, etc.
And the lifetime of structures is somehow involved in your model?
Of course, in truth, I form several consistent transition matrices, one of them being the existence time of the structures.
There are no independent factors in the market that completely ignore information about other pricing factors, including the current state of the market.
So the supposed model consisting of completely independent components looks like utopia and can in no way reflect reality.