Recognise changes in the "behaviour" of a financial time series (Trading on the news) - page 5
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Any TS uses formulas, because all your indicators and other stuff have formulas implemented in the form of programs. So you either unconsciously "stretch" the formulas, or consciously, and even by reading books, and not reading various Shiryaevs out there.
do you happen to know anyone you can read on response functions?
do you happen to know anyone who can be read up on response functions?
Comrades, I would like to ask for help with the following question:
Question 1.
I want to write an indicator that would be able to take into account changes in the "behaviour" of a financial time series.
In my head I imagine the following:
Step 1. I know the time of news publication, time moment t;
Step 2. The market is waiting for the news release and begins to change its "behavior" up to the moment t and the market agents are waiting for the news. It is clear that in some agents the information arrives promptly.
Step 3. An indicator captures the change that has occurred, the specific model is ordered to enter into action.
Indicator - what can act as this indicator? Not too complicated an apparatus.
Question 2.
Is there a literature or references on the forecasting models of financial timeseries that take into account the news release?
At the moment of news release there is a surge of volatility. How important the news is, we can judge by the readings of the same APR or, I don't know, how in mql5 there is a channel of standard deviations (not to be confused with the regression channel), we can judge by the width of this channel, before the news release and in the first moments after the news release. The trouble is that the news are usually released in packs, and it's easy to get caught up in the swing, and people on the other side of the monitor are not as stupid as we want them to be, they can move the spread wider.
Logically, the market should be searching for a new steady state taking into account the new information, how long it will last (in theory, it will last instantly, but I doubt it). This moment may be tried to catch it. The direction of the trade should be visible to the eye.
Now again they will spit out we can use the same martin. Experiments show that if we calculate the rollover levels at low volatility. At the moment of high volatility the bastard is alive. I tried to calculate levels on Asiatic and place orders at the beginning of the European session, but time was an optimisable parameter and my Expert Advisor was deaf to the American withdrawal with its news.
Of course there is. The market is driven by news, but this is not necessarily visible to the eye.
Proven by whom?
PS last post https://www.mql5.com/ru/forum/139779/page109 just the opposite - a matter of faith?
Proven by whom?
PS last post https://www.mql5.com/ru/forum/139779/page109 exactly the opposite - a matter of faith?
For me it's not a matter of faith, it's a matter of knowledge: I know exactly where the news is in the market and how that news is taken into account in EAs. And everyone can have their own opinion, that's the beauty of it.
So, is it possible to forecast targets on the news? On D1, for example?
research and tell me...
At the moment of news release there is a surge of volatility. You can judge the significance of the news by the APR readings or, I don't know, in mql5, there is a standard deviation channel (not to be confused with the regression channel), you can judge by the width of this channel before the news release and in the first moments after the news release. The trouble is that the news are usually released in packs, and it's easy to get caught up in the swing, and people on the other side of the monitor are not as stupid as we want them to be, they can move the spread wider.
Logically, the market should be searching for a new steady state taking into account the new information, how long it will last (in theory, it will last instantly, but I doubt it). This moment may be tried to catch it. The direction of the trade should be visible to the eye.
Now again they will spit out we can use the same martin. Experiments show that if we calculate the rollover levels at low volatility. At the moment of high volatility the bastard is alive. I tried to calculate levels on Asiatic and place orders at the beginning of the European session, but time was an optimisable parameter and my Expert Advisor was deaf to the American withdrawal with its news.
Do your research and tell me...
Actually, C-4 has told us.
But faa1947, as I understand it, claims otherwise - "The market is driven by news".
What I'm really interested in is whether one market parameter can be used to get a positive result.
And I have the research to do.
Copypasta from these internets of yours, translated, dated Feb 27, 2009 1:46pm. Just on topic. Enjoy.
As for the news, I have a few questions. I tried to understand their significance and impact on price, but failed. Fortunately for me, it's the profits, not the understanding, that matter. (That's why perhaps most "experts" can be found among theorists, not on the trading floors.)
One thing I have noticed is that many times the price action tends to 'outpace' the news announcement. I think this is because traders are "speeding up" the move. (Maybe before the CPI (Consumer Price Index) or something.) A lot of new traders tend to think there's some sort of conspiracy here. Some "hot information" that has been "leaked" to a few select traders. I tend to think that the reaction to the news may already be embedded in the direction in which all trading is taking place. For example, if everyone shorts the Euro, and there is serious negative news on the Euro... it confirms the opinion of the crowd. Anyway, as you will find out... none of this is significant. Seriously.
I don't want to get involved in the Fundamentals vs Techanalysis argument here. I know that Fundament determines the direction as a whole. But I have found that a CPI announcement of -2.3% does not mean that I should sell EUR/USD at 1.2450. Indeed, does it ever tell you when to enter or exit a trade? (using an example).
Besides, it's hard to gauge how thousands of traders around the world are going to react. Hell, I never know how my wife is going to react, and after all I live with her. Plus she's only one person. Now try to imagine what 800,000 strangers around the world are going to do. Good luck with that.
Also, there are few things less interesting thaneconomic indicators. Boring. If I wanted to study it all, I'd go for an economics degree.
Take a look at one of your favourite news channels. CNBC is a good example. You have eight people trying to shout each other down. None of these people have any idea what's going on. As a fun exercise, count how many times a day some presenter asks a guest: "So which direction do you trade in?" or. "Where do you invest your working capital?" This shows what's behind the idea of hosting guests. Is it possible that some of these guests are interested in you trading on their advice, thus moving the price for them? It's all about the "hot information" mentioned in Memories of a Stock Speculator. Wall Street really hasn't changed over the years.
Also, they have an interest in making you believe that the stock market can jump at any time. If you actually think we are in a bear market for years and can't sell stocks (as most people do) - you won't watch them. They are interested in you investing... No viewers - no advertising. No advertising - no CNBC. No CNBC... no job.