and wandering around randomly again... - page 44
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You're talking to me about the number of heads and tails, their ratio tends to 1. Naturally with larger numbers the difference between them will increase modulo. But it will increase both in + and in minus, so logically it tends to equilibrium too. We don't seem to understand each other. That's why the Kents are disastrous to the public. It's all mixed up.
No, only their ratio tends to equilibrium (to 1). The expectation, yes, tends to zero. But in any given experiment (even an infinite one) Np is almost never equal to No and will vary by any number. In a set of experiments it will be a normal distribution with the centre (MO) at zero. There are market models that count the probability of price change over an interval T exactly like that. They got a Nobel Prize in economics for that, by the way).
ZSnowi is a bit late.They already got a Nobel for random rambling.))
Let's take the gsb as an example.
If you have a stop loss of 500 units and a take profit of 5,000 units, how many times more often will the price break the stop loss than the take profit?
Stop Loss will be broken 10 times, Take Profit will be broken once.
what is the probability that the price will break through 500 units?
The number of the necessary events (stop-loss breaches) should be divided by the total number of events.
10/(10+1)
and if TakeProfit is set at 50 000 units, then the probability is 100/(100+1) = 0.99. It is almost 100%!
Suppose the Stop Loss value is 500 units, Take Profit value is infinity, and the time frame in question is also infinity.
When the price takes a Take Profit of infinity, how many times will it take a Stop Loss of 500?
Let's calculate the probability: ∞/( 1+∞)= one, except for some minor fraction.
That is, the answer would be: 100% without some infinitesimal value.
(I don't understand why in mathematics there is the concept of "infinitely large number" but no concept of "infinitesimal number":))) )
...
(I don't understand why there is an "infinitely large number" but no "infinitesimal number" in mathematics:))) )
There is a zero.
.They've already got a Nobel Prize for random wandering.)
Yes that was wrongly awarded to losers. The true ones are still waiting for their award.
You know they're all here.
They gave it to the losers by mistake. The true ones are still waiting for their reward.
You know they're all here.
++
They would have traded their way, but they wanted a Schnobel.
Yes, that was mistakenly given to losers. The true ones are still waiting for their reward.
You know they're all there.
How could you forgetkran.bara from the threadIs there a GRAAL in FOREX?)))
Here are excerpts from his posts, as you can see he does not suffer from excessive modesty and can even praise himself in the third person:
...He's just very cunning and goes to his goal persistently and inexorably, a skillful man! Don't you think so? And my reasoning is ironclad. I'm a better trader than... (let's not point fingers...).
...That's it. I'm tired. Even I, with my outstanding abilities given to me by nature and developed by intellectual work over many years, cannot stand it for long.
I dare say that the trading guru, a respected A. Elder such effective methods, like me simply does not (I think so; his trade is not interested, naively believing that it has no special differences from other Guru).
Yes, that was wrongly given to losers. The true ones are still waiting for their reward.
You know they are all here.
Nah, they're all here.) Nobel Prize in 1997.
The prices of derivatives are determined by exchanges around the world using these very methods. The basis of the calculations is random walks.
Due to these methods many traders are still making good money today. And with a very low risk.
Fortunately, currency pairs are not such tools, and you do not need it.) It does not apply to Forex.
Can you please tell me how to achieve at least 90% of the modelling quality so that there is no chart misalignment.
Maybe it's the history of quotes, or it's another problem?
Because I can't qualitatively check the market for random wandering, and so far it's like this
Nah, they're all here.) Nobel Prize in 1997.
The prices of derivatives are determined by exchanges around the world using these very methods. The basis of the calculations is random walks.
Due to these methods many traders are still making good money today. And with a very low risk.
Fortunately, currency pairs are not such tools, and you do not need it.) It doesn't apply to forex.
This is not applicable anywhere. It is a very famous story, one that apologists for market economics and apologists for Nobel laureate extravagance do not like to bring up.
Here's the story.
Long-Term Capital Management (LTCM) was a hedge fund. LTCM was founded by John Meriwether, a former trader on Salomon's bond arbitrage team. He brought in Nobel laureates Myron Scholes and Robert Merton as partners in the fund.
In the first two years, LTCM earned around 40%. In 1997 they made 27%.
The hype around LTCM, its team and friends, was based on 3 things that would later kill the fund:
1. they were able to leverage from $4.8 billion to $100 billion. The fund's leverage was up from US$4.8 billion to US$100 billion. 1. Their position in swaps was $1.25 trillion. They had a swap position of $1.25 trillion (5 per cent of the total market).
2. they were exempt from many collateral transactions.
3. When they experienced problems this caused the crisis to intensify.
In 1998, LTCM made huge borrowing rates on several instruments. However, interest rate risk and credit risk would bury them. They expected markets to stabilise and developed and emerging markets to converge. A lot of LTCM's trades were in paired arbitrage.
European government bonds. LTCM sold German bunds and bought bonds of other European countries (the so-called 'periphery') in the expectation that the spread between them would come off before EMU.
Emerging markets and US treasuries. LTCM was long Argentine and Brazilian bonds and short US treasuries. They expected the credit spread to narrow, but instead it widened to 2,000 bps. (20%).
Russian GKOs and Japanese bonds. They expected Russian bond yields to fall and Japanese yields to rise. Wrong. Exactly the opposite happened: Russia defaulted in 1998 and Japan's bond market rallied.
Germany's long and short bonds. They sold short 10-year bonds and bought longer 30-year bonds, expecting the yield curve to flatten, instead it got even steeper.
Long- and short-term swap. They bought the long-term swap and sold the short-term. This strategy is almost delta-neutral. However, it depends on volatility. Short-term volatility rose and they lost.
They expected global markets to stabilise. In fact, the August 17, 1998 default in Russia only accelerated investors' flight to safe havens. Their investments were not diversified and were all invested in essentially one direction. As a result, investors and partners themselves lost 90% of their investments.
As of 21 August 1998, they had lost $550 million. US$550 MILLION. But this was only the beginning. In September 1998, the Federal Reserve Bank of New York assembled a pool of investors from 14 banks because LTCM risks threatened the US economy and in return for 90 per cent of the fund's shares, new investments of USD 3.6 billion were made. A NEW INVESTMENT OF US$3.6 BILLION WAS MADE. Much of this story is still unknown. The fund suffered because it used outdated VaR estimates of its risk management system and did little or no stress-testing of its portfolio.
The portfolio was expected to have a daily volatility of $45m. IT HAD A DAILY VOLATILITY OF $45 MILLION. And the fund's problems started when global markets lost liquidity in 1998. LTCM even sold some liquid assets to support other more illiquid positions. However, this did not help it. Fear curbed global markets and this led to a withdrawal of liquidity from the global financial system. As a result, LTCM simply could not liquidate its loss-making positions, which were huge.