Market phenomena - page 46
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
Why "unexpected"? You are "twin brothers"... Well, maybe not in physical origin, but in spirit. It's hard to even think of a distinction.
It does not make much sense to say anything on the subject without the results of a particular instrument. I did not plan in this thread to delve deeply into the question of the mechanism of baroque formation and expressed only my general opinion on the subject. But I can also justify it.
If you build an AR model for a tick process you will see that the AR coefficients are non-zero only for the first and less often for the second term. This tells us that in a linear model each tick remembers history no deeper than the previous tick. Next, in depth, by induction. If, for example, the relationship to the previous tick in our BP is a=1/2, then the relationship to the pre-previous tick will be 1/4, and so on. Now, what is an hourly bar? - It is a thinning of a tick series with a non-equidistant step. For estimation, this step can be taken to be a constant, and on an order of magnitude estimate of 1000 ticks. So, if we have a link between ticks, as you correctly noted above, then there is one on the clock as well. Let's estimate this relationship by order of magnitude: aH=(1/2)^1000=10^-300->0. With great accuracy it is zero!
So your ". It (dependence) does not disappear anywhere with increasing scale..." needs justification and the hourly bar distribution I cited most likely tends to be normal both in form and in content precisely because of the lack of a meaningful relationship between the counts. Of course, I am going too far and understand that ticks inside of an hour bar and on its border are not the same due to the crowd psychology, which takes part in the price formation mechanism. Also I cannot exclude the presence of non-linear connections between ticks that are not considered by the AP-model. I think that these effects do not determine the shape of the bar amplitude distribution on large TFs.
Why such sci-fi, AR models and stuff? It's a classic, after all. Before you use the apparatus, you need to make sure the apparatus is suitable for it. And about the dependence of the readings - it's simple. If I, say, have bought a hundred shares on the thin market or the volume of the shares is low - the price moves. If I sell that hundred in an hour, the price will move again. My two ticks, separated by an hour, but absolutely rigidly connected to each other. What kind of independence is there, and where does normality come in? Now, about the significance of my ticks. Again, if the market is thin - my ticks are significant. The market is three-dimensional - my ticks are significant, but not by themselves. But in this case, there are thousands of people like me, so to speak, and we, the entire thousands of us, often march in one direction. :) This, by the way, is the basis of several strategies of baiting the crowd of suckers by sharks. There is no independence there, with few exceptions. Again, time stamps, such as the beginning to the end of the working day, etc. - absolutely dependent things happen. In general, these tests are of no use, based on the structure of the process.
To this I would like to add that all the talk about random wandering with drift in the marketplace is a numbers game and no more than that.
If there's one drunk on the field, there might be drifting, but 100 drunks on the field will pile up to fight, and if one of them has a bottle, everyone will run in formation for the bottle. All this is called random drifting for some reason.
By the way, the drift argument is very old. There was an academician Glushkov, a great expert in the theory of automata, who said: give me a powerful computer and I will make a five-year plan that will take into account everything. And he was opposed: there are deterministic systems, there are stochastic systems, and there are indeterminate systems in which the control object contains a person who behaves deterministically, randomly or a mixture of these, and it depends on the circumstances. Everything exists simultaneously in the marketplace: determinism, randomness, fat tails (variable variance) and variable periodicity. And for the sake of completeness, there are also shocks.
The whole topic is a numbers game, a skilled one, but a game. Once again I am convinced that in economics every figure should have its economic, or at least its behavioural content, otherwise a numeral fornication is guaranteed.
Why all the science and AR models and stuff? It's a classic, isn't it? Before using the machine, you have to make sure that it is suitable for it. And about the dependence of the readings - it's simple, isn't it? If I, say, have bought a hundred shares on the thin market or the volume of the shares is low - the price moves. If I sell that hundred in an hour, the price will move again. My two ticks, separated by an hour, but absolutely rigidly connected to each other. What kind of independence is there, and where does normality come in? Now, about the significance of my ticks. Again, if the market is thin - my ticks are significant. The market is three-dimensional - my ticks are significant, but not by themselves. But in this case, there are thousands of people like me, so to speak, and we, the entire thousands of us, often march in one direction. :) This, by the way, is the basis of several strategies of baiting the crowd of suckers by sharks. There is no independence there, with few exceptions. Again, time stamps, such as the beginning to the end of the working day, etc. - absolutely dependent things happen. In general, these tests are of no use, based on the structure of the process.
Why all the science and AR models and stuff? It's a classic, isn't it? Before using the machine, you have to make sure that it is suitable for it. And about the dependence of the readings - it's simple, isn't it? If I, say, have bought a hundred shares on the thin market or the volume of the shares is low - the price moves. If I sell that hundred in an hour, the price will move again. My two ticks, separated by an hour, but absolutely rigidly connected to each other. What kind of independence is there, and where does normality come in? Now, about the significance of my ticks. Again, if the market is thin - my ticks are significant. The market is three-dimensional - my ticks are significant, but not by themselves. But in this case, there are thousands of people like me, so to speak, and we, the entire thousands of us, often march in one direction. :) This, by the way, is the basis of several strategies of baiting the crowd of suckers by sharks. There is no independence there, with few exceptions. Again, time stamps, such as the beginning to the end of the working day, etc. - absolutely dependent things happen. In general, these tests are of no use, based on the structure of the process.
Lots of clever bukafa, but none backed up by calculations. You refuted everything - and said nothing at the same time. Just like Yusuf.
Serge! ))) Why are you reflecting? You never know who else is going to come here. I'm here. I came and I will go the same way. What do I need to discuss with those zombified at university who can't even see the market trends (or rather, who have no idea what they are)? Nothing!
Live in peace. Smoke on the job. Study the distribution for the fifth time. And if someone comes by... just be patient for a while. They'll go away. Who else but you wants to jerk off to the same picture all the time?
Bye.
Come on. What calculations? Theories may not be supported by calculations, but they must always be confirmed by what's really happening in this world (in our case, the market). But don't worry, that doesn't apply to most of the scientific threads on this forum.
I'm not bothered, my complaints don't apply to you. If you don't like this thread for its science, don't come here, go away. Live in your real world and do not get bogged down in the thoughts of local "geeks".
Just don't like this kind of housewife-level reasoning:
HideYourRichess: And about the dependence of counting - it's simple. If I, say, bought a hundred shares on a thin market or the volume of shares is small - the price moves. If I sell that hundred in an hour, the price will move again. My two ticks, separated by an hour, but absolutely rigidly connected to each other. What kind of independence is there, and where does normality come in? Now, about the significance of my ticks. Again, if the market is thin - my ticks are significant. The market is three-dimensional - my ticks are significant, but not by themselves.
Or this:
In general, these tests are useless from the structure of the process.
What kind of structure did the author of the quote see, I would like to know...
In Yusuf's thread such comments are quite adequate, but not here. I do not understand how you can talk about independence if you do not even know how to measure it. If independence were "easy to measure" like this, there would be no market conundrum.
2 Farnsworth: Seryozh, thanks for the support, but... correctness above all! Sorry.
Lots of clever bukafa, but none backed up by calculations. Refuted everything - and said nothing at the same time. Just like Yusuf.
I just don't like this kind of housewife-level reasoning:
HideYourRichess: And about the dependence of counting - it's simple. If I, say, buy a hundred shares on a thin market or the volume of the stock is small, the price moves. If I sell that hundred in an hour, the price will move again. My two ticks, separated by an hour, but absolutely rigidly connected to each other. What kind of independence is there, and where does normality come in? Now, about the significance of my ticks. Again, if the market is thin - my ticks are significant. The market is three-dimensional - my ticks are significant, but not by themselves.
Or this:
Anyway, these tests are useless because of the process structure.
The market process has its own structure, there are rules, etc. It should be obvious.
And about housewives, I'm sorry, have you ever seen a market at all? A real market, not a bazaar or deceitful figures.
My position is very simple. You guys have been sitting here for years, since the old forum, jerking off on the same topic. You throw numbers back and forth, apply some kind of mathematical methods, etc. Where's the progress? Have not all these years, all these titanic, but inconclusive studies, do not you think that something is wrong with your approach to the problem.
The phenomenon of the market, in my opinion, is one thing - for some reason many people try to apply completely inapplicable methods to the market. And unlike in other areas, the market punishes this very harshly.