From theory to practice - page 706
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Sorry about the "darling", that's just a polite way of addressing the lady. And thank you for the "experience+knowledge", I don't know how you deduced I had it, probably female intuition.
OK, on the other hand, on what basis do you have a strong desire to compare BP with SB? Or, what are the indications that BP is "similar" to SB? The distribution of what exactly are you measuring in the BP, not the candles?
Now that's another matter entirely. Take a close look at the tics. What is their retournee distribution? Why is the retournee distribution of ticks different from that of candles?Women's intuition has nothing to do with it. Signs of BP being "similar" to SB are the hospital average. Candlesticks are a quantization of a series in time with loss of information, no more, you can quantize in other ways. Candlestick distribution? - It depends on the TF, the characteristics undergo changes, don't forget also that the information is somewhat distorted. However, the main trends of changes are traceable. Also series alignment by Erlang's flows is associated with partial loss of information, I came to it because the obtained series using this method is indistinguishable by its characteristics from the TF on larger periods. TF and ticks are different planes of one component. Fractality is inherent in random walks, it is inherent in BP too, only this principle is modified, but not lost. To give an example: a balloon, at first it is compressed and when we start to inflate it expands, this is figurative.
I think I care, I also thought so at first when Doc investigated tick arrival times, look, tick distribution, there is no chaos there, there is order and structure, and chaos can be made by exponential readout, I took this data from Alexander, I calculated and compared it myself.
It's just clustering volatility, the same garbage handling of heteroscedasticity. What effect one has depends on one's approach
I think I care, I also thought so at first when Doc investigated tick arrival timeframes, look, tick distribution, there is no chaos there, there is order and structure, and chaos can be made by exponential reading, I took this data from Alexander, I calculated and compared it myself.
You know, I used to arbitrage between DCs. But in 2014-2016 this opportunity gradually disappeared as a basis for normal trading. We started quoting so that the deviations between different brokerage companies would be smaller. And they did not twitch too much. I am not saying that this was done only through the efforts of brokerage companies, dozens of companies producing plug-ins for the MT platform also worked on this. We have improved filtering of quotes by time and values. The maturity of brokerage companies can be seen by the intensity of arbitrage situations they create.
I think that's why the ticks give the impression that "there's no chaos, there's order and structure". And the order and structure are different for each brokerage company if the filters were created by the brokerage company itself, and the same if they were bought from a single creator (although I guess there are also settings). But there is one thing in common, which is unavoidable in the fight against arbitrage. Such filtration should reduce the number of extrema, as it is at them that arbitrage situations arise. In other words, in the area of up to two spreads (a classical size for arbitrage) filtration by brokerage companies leads to a more trend behavior of rates and the roughness of quotes is smoothed out.
You know, I used to arbitrage between DCs. But in 2014-2016 this opportunity gradually disappeared as a basis for normal trading. We started quoting so that the deviations between different brokerage companies would be smaller. And they did not twitch too much. I am not saying that this was done only through the efforts of brokerage companies, dozens of companies producing plug-ins for the MT platform also worked on this. We have reasonable prices filtering both by time and by values. The maturity of brokerage companies can be judged by the rate of arbitrage situations they create.
I think that's why in ticks there is a feeling that "it's not chaos, there's order and structure". And the order and structure is different for each brokerage house if the filters were created by the brokerage house itself, and the same if they were bought from the same creator (although there are probably also settings). But there is one thing in common, which is unavoidable in the fight against arbitrage. Such filtration should reduce the number of extrema, as it is at them that arbitrage situations arise. In other words, in the area of up to two spreads (a classical size for arbitrage) filtration by brokerage companies leads to a more trend behavior of rates and the roughness of quotes is smoothed out.
Have you arbitrated at 4-mark? The results will be coarser there. If we introduce 6-digit quotes, the accuracy will increase even more. I know what you mean. You have posted interesting pictures of different brokerage companies in this thread. I am interested in the arbitrage opportunities within the system itself and whether they are possible on a long term basis. There are examples that are possible.
Have you been arbitrating on a 4-digit? The results will be rougher there. If they introduce 6-digit quotes, the accuracy will increase even more. I know what you mean. In this thread you've posted interesting pictures of different brokerage companies. I am interested in arbitrage opportunities within the system itself and whether they are possible on a long term basis. There are examples that are possible.
You should go to exchange, if you want permanent basis. Nobody cancelled pair arbitrage yet, the model to come up with is time. It's hard to switch from arbitrage in DCs to something "serious", because the entry level is much higher
terver as one of, yes, not the only and unparalleled, also many limitations, mainly residual analysis. When the variance is shifted, everything stops working, of course.
Well, there's Bayes, but it's not discussed here at all.
Example of a model with heteroscedasticity in the residuals, it causes large deviations in the residuals. Killed by correcting for the garbage effect (mostly just for volatility)
I will remove the effect later and show how it works. Pure econometrics
All variants of GARCH seem to explain the non-stationarity of volatility and do not explain the non-stationarity of drift (trend).
You are in vain separating these models from the theorist - without it you cannot build them.
Have you been arbitrating on a 4-digit? The results will be rougher there. If they introduce 6-digit quotes, the accuracy will increase even more. I know what you mean. You have posted interesting pictures of different brokerage companies in this thread. I am interested in arbitrage opportunities within the system itself and whether they are possible on a long term basis. There are examples that are possible.
Regardless of the number of decimal places in the quotes, the DC quotes good or bad, bad means that arbitrage situations are frequent.
"The system itself" is what? Is the flow of quotes not from the DC?
Regardless of the number of decimal places in the quotes, the DC quotes good or bad, bad means that arbitrage situations are frequent.
The "system itself" is what? Isn't it the flow of quotes not from the DC?
You did not get me)) Is there an opportunity to make money on the price itself all the time.
You misunderstand me)) Is there an opportunity to make money on the price itself all the time.
And what is that, "the price itself"?
What is it, "the price itself"?
))