Econometrics: one step ahead forecast - page 12
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Alexei, it's not about equity or balance,
it's about the model:
The trading system generates equity. If we are not satisfied with the equity, it is not clear what to look for in a trading system that has generated equity.
Any part of the phrase can be excluded.
Mathemat meets tara:
Mathemat: &M
tara: &t
Торговая система порождает эквити. Если эквити нас не устраивает, то не понятно что искать в торговой системе, которая породила эквити.
A => B. If we don't like B, it's not clear what to look for in A.
In other words: if we deny B, then [logically we should deny A].
What's not to understand? Send the trading system away.
Show up here more often, honourable one. It's nice to see a reasonable skeptic.
Oh, you read my mind... Pardon the familiarity.
Thanks for the kind words. I'll check in as much as I can.
I forgot to ask... why EViews and not gretl for example...? http://gretl.sourceforge.net/ Russian and free... The developers' motto is "From econometricians, for econometricians".
What the hell are the millions, colleague. God forbid a couple thousand of them know what they're doing...
(Apologies if I'm a little late in responding: the topic is growing too fast. I'll respond as I read the comments. In general, I like that the topic is so dynamic...)
Russian economic universities graduate over 1,000 people every year. They say that large Western banks employ up to 100,000 people in trading and you think they draw the charts? They don't even do that at our brokerages. And all this wonderful forum is talking themselves into it and justifying their laziness
San Sanych ... :)
What other models are used in econometrics?
The most interesting are state-space models
My dear colleague, do you still remember that ANC is just a special case of MMP (Maximum Likelihood Method) for normal distribution?
Why do you think that the inaccuracy has to be assessed in this way - by the sum of the squares of the deviations? Have you ever wondered why this is the sum of the squares of the errors and not, say, the sum of the moduli of the errors?
Damn, why the hell the leading matstatisticians of the world, realizing that the world does not follow the normal distribution (thick tails, though!), concentrated on nonparametric methods of estimation?