The St Petersburg phenomenon. The paradoxes of probability theory. - page 17

 
hartmann:
Oh, right. You test all your ideas on a coin chart.)

That's silly.

 
_o0O:

A strong statement. Strong enough to create by the fact of the statement itself the need to provide proofs.

It is interesting to see the brave theorist who was able to describe in general terms the mathematical apparatus of "any trading system", confirming private cases as well, without exceptions.

The position created by any system is a piecewise constant function of time. On each such piece the increment of capital is equal to the product of a constant (volume) by the increment of the price. Therefore the expectation of capital gain is equal to the product of this constant by the expectation of price gain, which is zero for SB without a trend.

Of course, in the general case it is much more complicated since we are talking about conditional expectation of increment, but for SB (by definition) it is the same as the conventional one.

 
Alexander_K:

Hearst has been studied up and down.

Definitely, it's a cakewalk.

What is written seems quite reasonable, which does not invalidate the usefulness of checking these claims on your own.

 
Aleksey Nikolayev:

What is written seems quite reasonable, which does not negate the usefulness of checking these claims yourself.

No time to check, Alexei.

I need the coveted key to the Grail - aka the "disassociation indicator".

Maybe it is here (see file on the page 233)? I'm reading it now.

 
Alexander_K:

No time to check, Alexei.

I need the coveted key to the Grail - aka the "breakdown indicator".

Could it be here (see attached file from page 233)? Now I sit and read.

Each available key must be tried on the keyhole so as not to miss the right one. In our case this corresponds to a self-calculation check. So I suggest you check both Hurst and Orlov.

 
Aleksey Nikolayev:

Each available key must be tried on the keyhole to ensure that you do not miss the right one. In our case this corresponds to a self-calculation check. So I advise you to check both Hurst and Orlov.

You may not have noticed, but that is exactly what I suggest:

Forum on trading, automated trading systems and testing of trading strategies

St. Petersburg Phenomenon. The paradoxes of probability theory.

Oleg avtomat, 2018.10.26 08:35

1) No, no, I'm not mixing these two concepts. I'm only suggesting you to make an experiment. But I see that you don't intend to do that. And for nothing.

2) Please give me a link to this rigorous mathematical fact, so that together we can look and see the full picture, and not just the dry residue, but also see and understand the conditions of its derivation and application. I would not be surprised if in this proof it turns out that the trading system is described as a Wiener process. After all, otherwise the application of Ito's stochastic integral is, to put it mildly, incorrect. I hope you're not going to deny that a trading system must not be a Wiener process at all. Quite the contrary ;))

3) Well, everything here is very familiar in general (label fitting, etc.)... That is, if the facts don't fit the theory, so much the worse for the facts(???)... well, and the necessary "base" will be summed up by any...

But you are unwilling toverify it by your own calculations.
 
Олег avtomat:

sheer stupidity

Well you say it's the same thing. ))
 
hartmann:
well you're saying it's the same thing. ))

reread it several times to see what I'm talking about

 
Олег avtomat:

reread a few times to see what I mean

that was enough:

5. Convince yourself of the fallacy of the postulate that it is impossible to trade successfully on the SB process.
 
hartmann:
that was enough:

5. Convince yourself of the fallacy of the postulate that it is impossible to trade successfully on the SB process.

So settle for a stamp.