Econometrics: let's discuss the CU balance sheet. - page 29
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faa1947 I have written to you in private.
I don't see it.
I don't see it.
If you have any ideas, I am willing to do the calculations. I now have plenty of varied stat material.
I don't have any ideas.
Have a look at variations on the optimization theme here -- a dozen pages -- maybe you will get an idea.
I assume everyone already knows that Broco is liquidated, the accounts are closed, and the procapital forum, formerly Broco's, is now owned by Pantheon.
Check out a dozen pages of variations on the optimization theme here - maybe you'll get an idea.
I assume everyone already knows that Broco is liquidated, the accounts are closed, and the procapital forum, formerly Broco, is now owned by Pantheon.
Optimisation is doing nothing. I adapt the model on every new candle. There are no criteria for evaluating the quality of the model.
Optimisation does nothing. I adapt the model on every new candle. There are no criteria for assessing the quality of the model.
Well, at least try to figure it out... Maybe you'll get an idea... or you're just going to throw it all away...
I know that, thank you.
Well, the price is relative to another asset (or several). There is no other way.
For example, we take the EURUSD and GBPUSD increments on m15. From these two distributions we generate EURGBP increments provided that they are independent and compare them with the real EURGBP increments. I.e. we montegrate different increments of EURUSD and GBPUSD from their real distributions and calculate EURGBP cross
in blue - real, and in red - synthetic EURGBP increments. The synthetic ones are indeed similar to Cauchy. The real ones have of course more tails than the normal one, but they are far from Cauchy. And a pronounced spiciness.
For example, I haven't seen the distribution of increments in any currency asset like this synthetic. Be it a pair or a more complex one - the dollar index, for example. And the only condition introduced in this pseudocross is the independence of the increments of the majors. Therefore the conclusion is that all assets are dependent. Although, maybe not directly but with the help of other assets, but it does not change the essence.
I have some doubts about the conclusions + some desire to have a little discussion (especially if the doubts turn out to be well-founded). So I pulled a branch out of the stash.
In the picture above, a graph of the "standard" Cauchy distribution (gamma=1) is shown for comparison (as I understand it).
However, at other values (less than 1) the similarity becomes much greater:
the first picture is bluntly from wikipedia.
// Actually the topic is not closed for me at all, I just decided at that time that it was too fishy to PR on the forum. Now I do not think so (: well, almost :).
// So, those who wish to discuss similarity of market quotation distributions with Cauchy distribution please feel free to do so. ;)
Had some doubts about the conclusions + some desire to lightly discuss (especially if the doubts turn out to be valid). Therefore I took a branch out of the stash.
In the picture above, a graph of the "standard" Cauchy distribution (gamma=1) is shown (as I understand it) for comparison.
However, at other values (less than 1) the similarity becomes much greater:
the first picture is bluntly from wikipedia.
// Actually the topic is not closed for me at all, I just decided at that time that it was too fishy to PR on the forum. Now I don't think so (: well, almost :).
// So, those who wish to discuss similarity of market quotation distributions with Cauchy distribution, please feel free to do so. ;)
what, in practical terms, would "very similar" or "not very similar" produce?
No econometric methods, methods or techniques are yet capable of capturing all the variety of patterns observed in the market. Do not waste your time and effort. The market can only be approached using the "black box" principle that I am trying to apply. Get involved, it is hard for me alone, but I am not giving up.
What kind of principle is that? When you do something and do not understand what you are doing?