Rate of price change, how to calculate - page 10
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
Of course, for the efficiency-quality pairing, there is an implicit purpose. And we are not talking about mundane "good-bad". But quite so scientific "match--non--conformity". And this already introduces a kind of gradation. But too broad an interpretation deprives the very phrase "market efficiency/inefficiency" of meaning;))
This is unlikely to work. These fluctuations have to be situational.
Why wouldn't the analysis work? ). You mean you won't be able to find a pattern? Well, it may not be a good idea to close the wicket in advance, although the chances are small. As in any other approach.
I remember reading it.
The point is that "the lion's share of this dependence is the daily volatility dependence" concerns precisely neighbouring bars, a kind of *ARCH effect, which statistically clogs up everything else due to the fact that the entire quote stream is analysed in aggregate. In order to detect directional dependencies we need a more subtle analysis the first step of which, in my opinion, should be division of a stream into sectors where there is and where there is not mutual information. You might say, identifying areas of inefficiency.
That's why I thought it was preferable to identify the role of the effect by suppressing it in the real series, rather than generating synthetics. About the separation - that's just the idea of "piecewise ergodicity" :). By the way, how about the variant I described above, with HZZ? That could come out canonically :)))
Well actually it's not about breadth of interpretation but about a binary choice of interpretation of the term. In this sense, you have a very strange logic: "with such an interpretation the notion will be the most controversial, so I will choose it".
On the contrary, your logic, according to which firstly some "essences" are invented (or accepted by someone contrived), and then experimental justification is searched for them, seems strange to me.
Note specifically, it is made up, not deduced "at the tip of a pen", as was the case with the positron. ;)))
Well, the binary choice already introduces a scale. With this, I hope, you will agree.
To me, on the contrary, your logic, according to which at first some "essences" are invented, (or accepted by someone contrived), and then experimental substantiation is searched for them, seems strange.
Note specifically, it is made up, not derived "at the tip of a pen", as was the case with the positron. ;)))
Well, the binary choice already introduces a scale. With this, I hope you will agree.
In this case the binary choice divides the worlds :))).
In this case, the binary choice separates worlds :))).
And this, in turn, requires defining the boundary between them :))) Or, to put it another way, a sorting algorithm is required. But what sorting do you intend to do? After all, first you must define an object of sorting. But you have no object and your worlds without an object are filled with emptiness ;)))
And that, in turn, requires defining the boundary between the two :))) Or, to put it another way, a sorting algorithm is required. But what sorting do you intend to do? After all, first of all you must define an object of sorting. But there is no object, and worlds without an object are filled with emptiness ;)))
Oleza, it looks like you came! Enjoy your orgasm to the fullest. Dip into it up to your ears... no deeper, right up to your head and dip in. It's going to get you through and through.
...
..... // There's a pause. An enjoyable one. When all the excitement and delight of encountering the great emptiness has subsided a little, let's try to think further. :)
...
I'll add more :
.
Нет феноменов, ноуменов, нет форм, вообщем нет того,
о чем говорится в Учениях.
СМОТРИ, СЛУШАЙ, ВПИТЫВАЙ, ВПУСКАЙ не то, что говорит Мастер,
а То, о Чем, говорит МАСТЕР,
не обязательно понимать,
можешь НЕ ПОНИМАТЬ,
Просто смотри в ПУСТОТУ ГОВОРЯЩЕГО МАСТЕРА,
И Будь ПУСТОТОЙ… ВОСПРИНИМАЮЩЕЙ МАСТЕРА,
И УВИДиШЬ… НЕТ МАСТЕРА,… НЕТ ГОВОРЯЩЕГО,… НЕТ ПУСТОТЫ,
А ЕСТЬ ВСЕ ТО, ЧТО МОЖЕТ БЫТЬ,
ЕСТЬ ТО, ЧТО ЕСТЬ.
ПУСТОТА при этом НАПОЛНЕНА ВСЕМ, в том числе и субьектами,
обьектами, феноменами, формами.
ПУСТОТА АБСОЛЮТНА В ЗНАНИИ ВСЕГО.
ВСЕ ЕСТЬ АБСОЛЮТНОЕ ЗНАНИЕ.
ЗНАНИЕ АБСОЛЮТНО В ПРИРОДЕ ПРОИСХОДЯЩЕГО,
AND FILLED WITH EMPTINESS IN THE EXISTENCE OF BEING.
.
;))))))))))))))))))
If I was smart I'd get it, but I feel I missed something in primary school.)
- Each minimum allowable price change that occurs is a new member of the time series.
That leaves the hardest part, the price. If you ask me, the concept of price depends a lot on your goals ))
(a) Suppose you are a market maker working on ECN (easier for example) and are very much interested in market ordersYou take T&S for some fixed/non-fixed period(FIR/BIX filters) and count the geometric weighted average. Here's your speed = +- X% per trade of minimum volume
(b) Suppose you are an arbitrator and also work on the exchange, but are interested in limits of slack market makers.
This is more complicated. First, you are interested in bid prices (the history of the cup), not deals. Secondly, you have at least two prices: for bid and for ask and it's good to even synchronize them.
When you calculate the price you have to assume that:
- - Quotes are relative
- - volumes are inversely proportional to execution probability.
My general thoughts on the algorithm are given here(c) Suppose you are a long term investor.
Then you don't bother with all this nonsense and just trade normally, for example, by mashka (arithmetic mean of relative values) by measuring the speed in points per candle.
P.S. Although arbitrage and marketmaking are one and the same thing, only with different signs, a common definition of price I can't give/select.
So we seem to have begun to run into uncertainty . Let's not rest against it (: otherwise it will rest against us with equal force :), but somehow we will try to get used to it. To do this, it seems like you need to drink this cup to the bottom ... :)
Since the bottom, so far, is at an indefinite distance, you need to at least somehow get used to the limitations (they are also fulcrum). For example, to distinguish, for starters, what is possible to rely on and what is not. In particular, I would like to shake (or even overthrow) one empty hope. This hope glimmers in each of us, even if in our thoughts (about it) we have already hatched out of it, however, talking about something else, we tend to unconsciously bring this hope (usually in an implicit form) into our thinking / reasoning. I'm talking about "causation". In everyday life, "standard" homo-sapiens (far from science and other concentrators of deep truths) usually mean that if something happened, then there is a reason / s for this. It is difficult to criticize such a position, you can inadvertently become the "cause" of someone's frustration, and, if the upset person has enough "power", even incur a "fair punishment" for this. For, from his point of view, I exist not at all in order to upset him, but to bring him every benefit and satisfaction. Familiar? Is it clear what I mean? Uh-huh, not so much yet. ...........
I will continue. Let's move, perhaps, from an authoritarian social universe, to a less (hopefully) authoritarian scientific one. So. With a systematic analysis, it quickly becomes clear that the "everyday" interpretation of causality does not correlate well with the facts. The facts, on the other hand, "point" to the fact that not a single phenomenon has a single specific reason (which could be quite specifically caught and, in accordance with the legislative tablet or one's own sense of "justice", punish used to satisfy one's own needs. For example, "the need to take revenge ". or some other..) There is always only a set of facts (state of the world) preceding another set of facts (another state of the world), and the chain of these states is continuous (in the sense of Cauchy). Those. with any splitting into arbitrarily small discrete slices, in the gap we have some non-empty content. Which can be divided even more finely .... This is an approximate description of a very pessimistic (in relation to "cognition of causality") model of the world around the end of the 19th century. Well, the beginning of the 20th. However, at the beginning of the 20th, confusion had already begun in the ranks of science thinkers .., but more on that later. In the meantime, let's estimate, perhaps, what place of causality we can take in the described four-dimensional Cartesian model of the Space of States of the World. Where can it be attached. Well, for example, let's do this: Let's assume that subsequent (relative to an arbitrary point in time) events "follow" from the previous ones (to the same moment in time) in accordance with the " World Code of Physics Laws ". Which we partially knew, and partially not ... But by studying all kinds of particular sequences between the states of particular objects, we can just supplement our version of the " Collection of Hypotheses About the World Laws of Physics ". We cannot claim more, because our hands are short - we do not have and, it seems, will never have a complete and comprehensive Data Set About All Successive States of the Past Universe. Now, if it were .... And what would happen if it were? Oh!... Then wow..!!...!!!.... Then it would only be necessary to quickly invent a Mechanical Super-Clever, load our Dataset into it and instruct it to find all the Causal Patterns. .... And it's in the bag. ... But.... we don't have that damn Comprehensive Dataset... what a bummer!... :( .... :(( ... :((( .... ...And There is no super-intelligent yet... but this is not so important, because even if there were, we would have nothing to offer him for the Comprehensive Analysis... What then remains...? created model?), in order to somehow find the limits of the possibilities of the scientific method of cognition of causal relationships in the available universe. The key aspect in all this thought development, concerning causality, of course, remained unshakable. formulations, adapted to the requirements of the Cartesian four-dimensional model, etc. I will formulate, perhaps, as best I can: "Subsequent states of the universe are always completely determined by previous states" and as a consequence "Knowing (having a complete description) the Previous State of the World, we can calculate the Subsequent State in the presence Correct Formulas. Something like that. ...
Well. This is what (in my subjective view) the scientific paradigm of "causality" looked like at the turn of the nineteenth and twentieth centuries.
// Once again I emphasize, the chit of criticism did not overstrain in vain - all this is my modest imha, and if you have serious corrections - enlighten me and clarify.
// And I'm not inclined to argue about this, because truth is not born in a dispute , contrary to a well-known saying. Offer your description - I'll be happy to get acquainted.
What happened next? Then everything only got "worse" :)) First, Einstein came and abused the Cartesian space. Fortunately, by that time there was something to replace, even in abundance. By that time, mathematicians had piled up a bunch of all sorts of alternative options, there was simply no insolent physicist who would capitalize on this economy with sufficient benefit for science ....
Here, probably, it is not worth jumping past the term "benefit" in a hurry. :) I'll slow down for a few lines, to find out (guess?) what kind of animal this is. With full confidence, I can’t proclaim the “Final Truth” on this score, but still a couple of more or less reasonable near-definitions were lying around in the bins. So both are two options:
1. Benefit, this is what makes the goal more accessible to achieve.
2. Benefit, this is what satisfies the needs.
Well, now let's figure out what is " benefit for science" in terms of both definitions. Of course, it would be more "scientific" to first choose the "correct" one of them (more in line with Reality?). But.. I have a certain skepticism about the benefits of such a Run Into Unambiguity. There are a lot of "reasons" for that (for me), for now I will choose the following quite scientific excuse: both definitions have their own potential (potential benefit ). So let's do a simple substitution for now:
1. What is useful for Science is that which makes the Goals of Science more accessible to achieve.
2. What is useful for Science is that which satisfies the Needs of Science.
By the way, I have been embarrassed to ask for a long time: what is the benefit of science, sobsno, for the environment ? ... uh ... maybe not necessary ..? .. at least right away ..? .. after all, the Greens' argumentation is also limited, and besides Hiroshima, Chernobyl and other "Great Mucks", science has produced more useful consequences, for example, numerous satisfyers of numerous quite peaceful needs ... well, electricity like ... fast transport, telephone, radio, polymers, fertilizers ... if you remember medicine - x-rays, synthetic drugs and other tomography ..., and if closer to grub - pasteurization, refrigerators, milking machines, ... well, in short, doher and more satisfaction of human needs . Well, yes. Satisfiers of the needs of the Environment external to humanity are produced by Science in much smaller volumes. Compared to human , almost none.
Okay, let's leave the lyrics for now. Let's get back to our sheep-definitions. Why are there two? What is the use of this? Excuses, too, I will set aside and immediately postulate: one of them (the first) I will call Subjective ("declarative"), and the second, respectively, Objective (such as "real"). I draw the right for such a division from observation of human behavior and the conclusions (working hypotheses?) that I have come to today. Namely: (1) "Goals" are easily declared, precisely (or not very) formulated, concretized, but at the same time they are always just a mental construction - Image - Description . Well, either a Declaration fixed on paper / stone / electronic media .; (2) "Needs" are always Real - but they are amenable to formalization. There is little we can say for sure about them .... we can assume a lot (compose Theories), but to be honest .. almost all that can be known about them is that they seem to exist, and that people and other organisms are like they are satisfied. ..
This is what I think about the concept of "usefulness for science". This, of course, is not all that I think about it. For example, I know a common Myth about the "Goals and Objectives of Science". Well, by itself. It's simple, much simpler than it really is . The myth reads roughly as follows: The Goals and Tasks of True Science is the production of Scientific Knowledge about the World, as well as their systematization. However, what am I? Everyone can read the presentation of this Myth, for example, in the Wikipedia version.
Vopchem .. Here I considered it necessary to finally go out of the gray frame dedicated to the concept of "Scientific Benefit" to a white background. In the frame, I tried (did it work?) not so much to clarify the above concept, but to draw attention to the actual uncertainty of not only the concept (term) itself, but also the facts / factors / aspects of reality behind it / lying / staying. I hope the roof-breaker was a success, at least partially ... (?)
It's time for me to justify myself somehow...?. Why the hell was it to break a more or less defined and highly socially agreed mental construct in favor of a much less defined something-chaotically-woven...? Well Duc because it's more honest. We all vaguely guess that there is no "Science", as an object localized in space, which could, for example, be measured with scientific rulers and correctly described with letters and numbers. But we know for sure that "science" is produced by living people, with different (" correct " and not so) motivations, goals, needs and personal cockroaches. In other words: what Wikipedia writes Pionerskaya Pravda and what actually exists are two big differences. I wanted to emphasize this idea for the time being, and everything else above (on a gray background) is something like a "meditative illustration". Sobsno thinking is not over yet .. I’ll just cut it off in mid-sentence, let it cook .... /* I ask you not to be angry with me for this - there will still be no benefit from this ... ... well, is it a normal argument? ... :) In addition, you can always return to this topic if / when you feel like it .... */
..
So let's get back to the presentation of the history of scientific ideas about causality in the time of Albert Einstein. What happened there with causality in connection with the fall on the heads of pundits of the Theory of Relativity. It is worth mentioning slightly that there are actually two theories, Special and General. Both severely battered the preceding sequential Cartesian causality. The first actually stated that (1) "causal changes/influences in the World have a finite rate of propagation" (namely less than or equal to the Speed of Light). And (2) "a continuous and evenly distributed flow of Time is not such in all possible coordinate systems, but only in each individual inertial one. And if they move between themselves, and even if at a variable speed........ then oh. time suddenly becomes non-linear... crooked, in short. "... The Second (General) TO considered the mockery of the virginal rigor and simplicity of Cartesian causality to be insufficient, and muddied the idea of curvature of space as well. Let me quote Wiki: "In the general theory of relativity, it is postulated that gravitational effects are caused not by the force interaction of bodies and fields, but by the deformation of the space-time itself in which they are located. This deformation is associated, in particular, with the presence of mass-energy.". Here are the things. Survived is called ... Causality has become completely confusing. After that, no one (from the Advanced Scientists) seriously took it up in words, but there were rumors that in the language of formulas all this disgrace with causality looks more or less coherent and legible............... ...
But it didn't end there, though. Finally finished off the idea of a deterministic universe "Heisenberg and Company" - a community of quantum theorists. I will not continue to soar the brain of the public with my meager ideas about this, but I will give the floor to "experts". So: Werner Heisenberg Quantum Mechanics and Philosophy of Kant (1930-1932) , chapter from the book "Part and Whole". In this chapter ... however, I will not. Let's just read. She's not that long. And very (from my belfry) fascinating.
// There is a link to this whole book, I hope there are those who want to dig into other chapters, and maybe read it in its entirety.
// There is one more book there: "Physics and Philosophy" - it really impressed me once. I have both of them in paper form (in one collection). I poke around there sometimes in the mood ...
Then.. hopefully we will continue trying to measure/sort the measurable market facts... in an attempt to satisfy our own needs, of course... well, what else can we do? .. ;)