and wandering around randomly again... - page 45
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That doesn't apply anywhere. It's a very famous story, one that apologists for market economics and apologists for Nobel laureate singularity do not like to bring up.
...
This whole story is about nothing. It has nothing to do with the subject of the Nobel Prize or the methods.
I was trading these methods perfectly well on MOEX (then MICEX) until 14. However, I hope you remember what happened in 14? (Roughly the same thing happened in '98, only everywhere, and 2008 on our quiet island in the ocean of crisis).
The methods have not changed and have not become worse, only it has become impossible to trade in this state of the market. Now you can only trade on random fluctuations - like grab it, rip it off and run away).
This whole story is about nothing. It has nothing to do with the subject of the Nobel Prize or the methods.
I was trading these methods just fine on MOEX (then MICEX) until 14. However, I hope you remember what happened in 14? (Roughly the same thing happened in '98, only everywhere, and 2008 on our quiet island in the ocean of crisis).
The methods have not changed and have not become worse, only it has become impossible to trade in this state of the market. Now you can only trade on random fluctuations - like grabbing a piece, ripping it off, and running away).
I can say with absolute certainty that you are wrong.
All these Nobels (chief among them Markowitz with his portfolios) believe that the efficient markets hypothesis works, and therefore risk can be managed at the expense of returns.
It follows from this hypothesis that one can only make money in markets by investing.
And there is another group of people who think that this hypothesis works for some time intervals, about 10 years after 1987 if you look at history. Then there is the collapse of the markets. The Nobels don't want to admit it, and they are extremely stubborn people, even losing their own money doesn't teach them.
The 10-year horizon is too long for us, but the fact is that investing with a 10-year horizon is not much different than investing for a day or a week.
It's all about fat tails, which are triggered by small things often on small time intervals and triggered by large things on large time intervals
Either they are ignored, as Nobili does, i.e. assuming explicitly or not explicitly that the residual from the model is stationary.
Or go after Maldenbrot and within ARCH models model the residual, given the thick tails.
Your "grabbed, piece torn off, and ran away." strategy also assumes that the residual is stationary, which is perfectly workable up to a point, but will necessarily have the "grabbed, piece torn off, and no time to run away" look.
It is necessary to model thick tails in the remnants of the model (model medium). In addition, it is very desirable that the model of the mean takes Hearst into account.
I can say with absolute certainty that you are wrong.
All of these Nobels (chief among them Markowitz with his portfolios) believe that the efficient markets hypothesis works and that it is therefore possible to manage risk at the expense of return.
It follows from this hypothesis that one can only make money in markets by investing.
And there is another group of people who think that this hypothesis works for some time intervals, about 10 years after 1987 if you look at history. Then there is the collapse of the markets. The Nobels don't want to admit it, and they are extremely stubborn people, even losing their own money doesn't teach them.
The 10-year horizon is too long for us, but the fact is that investing with a 10-year horizon is not much different than investing for a day or a week.
It's all about fat tails, which are triggered by small things often on small time intervals and triggered by large things on large time intervals
Either they are ignored, as Nobili does, i.e. assuming explicitly or not explicitly that the residual from the model is stationary.
Or go after Maldenbrot and within ARCH models model the residual, given thick tails.
Your "grabbed, piece torn off, and ran away." strategy also assumes that the residual is stationary, which is perfectly workable up to a point, but will necessarily have the "grabbed, piece torn off, and no time to run away" look.
It is necessary to model thick tails in the remnants of the model (model medium). Apart from that, it is very desirable that the model of the average takes Hurst into account.
And they also used lipstick on the mirror to draw a naked woman saying that they consistently win.
ZS. Since the topic is a bit off topic, everyone here is comparing the sb and the market, no one has ever mentioned fat tails.
ZS. Since it's a bit off topic, everyone here is comparing the sb and the market, no one has ever mentioned fat tails.
...
All of these Nobels (chief among them Markowitz with his portfolios) believe that the efficient markets hypothesis works and that it is therefore possible to manage risk at the expense of return.
It follows from this hypothesis that one can only make money in markets by investing.
...
If you remember, I expressed my negative attitude towards this "theory" several years ago, at the time when many people here (including you, Faa) accepted this "theory" as the ultimate truth, not daring to contradict the authority of "noobiles". There have been discussions on this topic in various threads, including my thread "Market -- a controlled dynamic system". (you can find it if you like).
Now, after several years, in the masses gradually comes the doubt, rejection, and then understanding of the inadequacy, if not absurdity, of this "theory". Better later, as they say, than never.
Moreover, one can now argue that the "theory" is of a bespoke nature. The reason the "theory's" developers were given the status of "nobility" was to give the "theory" more weight and significance in the eyes of the uninitiated. Although for many it is simply incomprehensible.
Well, it would be possible to make money on SB process, if there were such a datafeed, and it would be much easier to do than on real quotes. And real quotes do make money. And this is a fact. Although not everyone earns, for some for the time being and for some forever. I wish you success.
I can state with absolute certainty that you are wrong.
All these Nobels (chief among them Markowitz with his portfolios) believe that the efficient markets hypothesis works and therefore you can manage risk at the expense of return.
It follows from this hypothesis that one can only make money in markets by investing.
And there is another group of people who think that this hypothesis works for some time intervals, about 10 years after 1987 if you look at history. Then there is the collapse of the markets. The Nobels don't want to admit it, and they are extremely stubborn people, even losing their own money doesn't teach them.
The 10-year horizon is too long for us, but the fact is that investing with a 10-year horizon is not much different than investing for a day or a week.
It's all about fat tails, which are triggered by small things often on small time intervals and triggered by large things on large time intervals
Either they are ignored, as Nobili does, i.e. assuming explicitly or not explicitly that the residual from the model is stationary.
Or go after Maldenbrot and within ARCH models model the residual, given the thick tails.
Your "grabbed, piece torn off, and ran away." strategy also assumes that the residual is stationary, which is perfectly workable up to a point, but will necessarily have the "grabbed, piece torn off, and ran away" look.
It is necessary to model thick tails in the remnants of the model (model medium). Apart from that, it is very desirable that the model of the average takes Hearst into account.
Right or wrong does not matter in this case. I don't consider investments at all. For me a deal of 1-2 hours is already a long time, and overnight is even rare. Moreover, the inevitability of loss-making trades is inherent, accounted for and predetermined by the strategy itself. Do not confuse this with minimizing the number of losing trades - it is a different subject.
As for Sholes and other Jenkins, they are not used by me now, because MOEX in its present condition (after 14), can hardly be called a market.
SanSanych, a clarification especially for you: Jenkins is not only a book on time series analysis, but also a number of applications, including market ones. The above refers to those very applications.
Well, it would be possible to make money from the SB process if there were such a datafeed, and it would be much easier to do so than from real quotes. And real quotes make money. And this is a fact. Although not everyone earns, for some for the time being and for some forever. I wish you success.
Clearly you put yourself in the "bye" category. But your "for now" has been buzzing on the forum for many years and theorizing with affirming statements. But it is still there. And for all that it is a common practice to achieve something and then assert it. In decent society everything else is bullshit.
I wish you success. Although wishing success to the verbally inclined is not right.
Clearly you refer to yourself in the "bye" category. Only your "for now" has long been buzzing on the forum and theorizing with affirming statements. But it is still there. And for all that it is a common practice to achieve something and then assert it. In decent society everything else is bullshit.
You should be wishing success. Although wishing success to verbalists is not the right thing to do.
I'm not going to engage in the argument you've provoked -- it's too messy.You try to compensate for your lack of knowledge with rudeness. That's a valid point, and the more boorish you are, the more valid... miserable...
You are trying to compensate for your lack of knowledge with rudeness. In your wretched mind that is a valid argument, and the more boorish, the more valid.... miserable...
And you try to embellish your lack of knowledge with verbiage. The rudeness of verbiage is no less.
And you are trying to gloss over your lack of knowledge with verbiage. Rude verbiage is just as bad.
I'm not going to engage in the argument you've provoked -- it's too messy.