From theory to practice - page 716
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There is an anecdote...
- It's spring again, you want to go to France.
- Why, have you been there before?
- No, I've already wanted to ;)
A variation:
- I've been everywhere, but I'm not going to France this year).
:))) I agree - it's been a long time coming.
But, man, I know I'm around.
Look:
1. In a sliding window = a day or more we have a pseudo-Poisson flow of quotes - the process is quasi-stationary.
2. The incremental correlation coefficient for any pair in this window is, on average, negative.
3. The variance calculation formula is a working one for Variance Gamma Process.
Everything, damn it, says that there should be a "return to the average".
In fact - not always.
I'm tired of hammering into the heads of forum participants - give me the key to antipersistence of the market instead of Hirst - that's all.
They say nothing... Staring at the monitor with goggling eyes... What the hell do you want to see?
I have to do everything myself.
I've noticed that if, when leaving the variance channel, the coefficient of kurtosis of increments is >10, then the trend starts without a "return to the mean". If it is less than 10 - there is a return. Sitting - checking. As always - one. "By yourself, all by yourself" - I see, what's there to say...
Does he even know you're there?
Let's say you find >10, backtrack on the value for 3-4(where you get >10) and put a buy/sell limit there to continue the trend. Price always returns to the "average" better read as an average returning/catching up - then there will be no deliberately false expectations about price movements.
Does he even know you're around?
Let's say you find >10, backtrack by the value for 3-4 (where you get >10) and put a buy/sell limit on the continuation of the trend there. Price always returns to "average" better read as average returns/catch up to price - then there will be no deliberately false expectations about price movements.
Actually, it doesn't matter what comes back to what. The main thing is that it does, and that is a medical fact. The rest is just a matter of technique.
2. I just understand the process, not informed about it.
or rather you think you understand it.
Does he even know you're around?
Let's say you find >10, pull back a value for 3-4 (where you get >10) and put a buy/sell limit on the continuation of the trend there. Price always returns to the "average" betterread as the average returns/catch up to the price- then there will be no deliberately false expectations about price movements.
Typical CARGO-cult. There is a general epidemic here :-)
The most visible part of the population has been dumped by the coin (it's like a Spaniard, but long, flowery and loud), the other part by the cart-overtaking-horse...
The middle (that running, that just in their seats), they stay in the past. They don't go anywhere, they don't catch up with anyone. And they don't predict anything.
They help deal with the past and draw conclusions. Well the average predicts nothing at all. And you can't trade on one distribution. You can't trade on consequences without even imagining the causes that caused them - otherwise it's a real kargo cult when the natives make model aeroplanes out of guano and reeds, expecting a parachute to fall out of the sky.
Until you have linked the distribution to the physics and logic of the process, you can't do a damn thing with it.Maxim - from words to deeds.
Name any physical and mathematical parameter that you think works in the market. Let me read the literature.
Well, how many hints can you say?
Or just tell me that it doesn't work and that you should shut up shop.
Completely agree with Oleg.
Maxim - from words to deeds.
Name any physical and mathematical parameter that you think works in the market. Let me read the literature.
Well, how many hints can you say?
Or just say, "It's not working, shut up shop".
What has physmath got to do with it ? direct projections of physical laws do not work here. e=mv^2 is not about here, for lack of e,m,v :-)
I've even given direct instructions - start with the basics, with economics, with pricing... I have even given direct instructions - start with the basics, economics, pricing. you can make money in the market, but you have to work in it all the time. (There is no universal "market formula", no "unique distribution", no "pike's rule"...
I like all the topics raised by you and Oleg, with one small nuance - they "do not cling" to reality, they are as if in themselves, for their own sake, hermetic. It's an amusing mind game.
You've been looking at returns almost under a quantum microscope looking for a specific distribution - well there must have been a shadow of a thought, by what process, in what way can this distribution be obtained ?
but it didn't happen... you goddamn mat-theoreticians, pardon the expression.
You were looking at returns almost under a quantum microscope looking for a particular distribution - well there must have been a shadow of a thought, by what process, in what way could this distribution be obtained ?
And you're right.
It is a very conceptual question. What is this distribution and why is it so - always and forever?
I've been trying to get to the bottom of it. The last thing I stopped at was Skellam's distribution. The returnee is the difference of two numbers belonging to two different Poisson distributions... What's next? What's next - I didn't have enough brains to put it on a physical and mathematical foundation. It's more from game theory.