FOREX and ECONOMETRY. Theory, practice, forecasts and implications

 

In this thread I propose to discuss the theory and practice of econometrics as applied to FOREX, share experience, create indicators and experts, make forecasts using econometric indicators. Evaluate the results of such work.

I would also like the moderators to allow posting screenshots of indicators and Expert Advisors, even if they are paid, or conditions under which it is possible.

As far as I know econometrics allows to remove noise and trending on a price chart, create forecasts and much more.

Who already knows and knows what on the subject?

 

I will start with the following material. It seems to me that part 2 is most applicable to forex.

 
I would suggest inviting Yusuf Hoxha ...
 
Movlat Baghiyev:
I would suggest inviting Yusuf Hoxha...
I think he would be interested in this topic. I really hope he will participate.
 
Here's when back in 2011 they wrote https://www.mql5.com/ru/articles/1345
Эконометрика: прогноз EURUSD на один шаг вперед
Эконометрика: прогноз EURUSD на один шаг вперед
  • 2011.11.09
  • СанСаныч Фоменко
  • www.mql5.com
Статья посвящена реализации прогнозирования движения валютной пары EURUSD на один шаг вперед с помощью пакета EViews с последующей оценкой результатов прогнозирования с помощью программ на EViews. Прогнозирование осуществляется при помощи регрессионных моделей, для проверки корректности прогноза разработан советник для MetaTrader 4.
 
Movlat Baghiyev:
That's when back in 2011 we wrote https://www.mql5.com/ru/articles/1345.

The outcome of this article, judging by the balance, is not good after all.

It may be necessary to introduce a ranking of the trading systems built over time.

Time will tell.

 
Movlat Baghiyev:
I would recommend inviting Yusuf Hoxha.
Thanks for the invitation, I will definitely participate. There are some sketches in this regard.
 

What does the word econometrics mean?

What does it have to do with indicators, advisers?

Here is an understanding of the word with a list of tools for solving econometrics problems. Please note the list of packages that are available in R on this subject.

But that is not all.

The fact is that "econometrics" strongly overlaps with machine learning, time series and a few other sections that are widely used in trading.

Here is a rubric for R packages. For example, are Bayesian methods related to econometrics? or optimisation?

CRAN Task View: Econometrics
  • cran.r-project.org
Base R ships with a lot of functionality useful for computational econometrics, in particular in the stats package. This functionality is complemented by many packages on CRAN, a brief overview is given below. There is also a considerable overlap between the tools for econometrics in this view and those in the task views on Finance...
 
СанСаныч Фоменко:

What does the word econometrics mean?

What does it have to do with indicators, advisers?

Here is an understanding of the word with a list of tools for solving econometric problems. Please note the list of packages that are available in R on this subject.

But that is not all.

The fact is that "econometrics" strongly overlaps with machine learning, time series and a few other sections that are widely used in trading.

Here is a rubric for R packages. For example, are Bayesian methods related to econometrics? or optimization?

I posted the material above in Russian. There is an answer to your question, at the very beginning part 2 . There is also a definition of econometrics from 2 points of view.

Indeed, a quote is nothing other than:

f(t) = y(0)+y(1)+...+y(n)

First EXEL, then code for MT. This is how I imagine the process of creating a trading system.


 
Renat Akhtyamov:


For, indeed, a quotation is nothing other than:

f(t) = y(0)+y(1)+...+y(n)



What is y here?

How is this formula deciphered?

 
Дмитрий:

What is y here?

How is this formula deciphered?

Above is part 2, read it.

This formula is from there, just my interpretation, if I understand it correctly.

So a quote is a function of time.

In our case, it's a count of time or simply bars.

We know that every unit of time corresponds to a variable value of quote that has deviated by some value along the y-axis .