On the unequal probability of a price move up or down - page 121
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In general, real cointegration is only possible for instruments whose ranges overlap, otherwise, as for example for the pound and the euro, cointegration can only be observed for transformed data, which is a function of the initial quotes. In fact, this requires detrending. Whether the cointegration is stable or not, depends on the quality of detrending. For quality detrending, it must be dynamic.
Co-integration may or may not be observed. In currencies, definitely not. Co-integration in currency pairs is constant, but the currencies themselves are different. That is the paradox.
Here is the behaviour of the currencies against the background of the pair chart.
In the basement, the pound chart is blue and the yen chart is white.
In general, true cointegration is only possible for instruments whose ranges overlap, otherwise, as for example for the pound and the euro, cointegration can only be observed for transformed data, which is a function of the initial quotes. In fact, this requires detrending. Whether the cointegration is stable or not, depends on the quality of detrending. For quality detrending, it must be dynamic. But of course, even high quality detrending does not guarantee the maintenance of cointegration, this is primarily a property of the tools. But, if the detrending is poor, then the cointegration will deteriorate.
Uladzimir Izerski:
Here is the behaviour of the currencies in the background of the pair chart.
In the basement, the blue pound chart and the white yen chart.
Oh, the man has solved this crucial metrological problem. He found a benchmark, and a way to compare with it. By the way, it is not difficult to find a benchmark. It can be the value of any currency at any time. But how to compare "the dollar now" with the dollar "a year ago", which is the benchmark, is not a task for the average mind... the man has definitely solved it... For he is reasoning about "the behaviour of currencies, but not pairs"... about what I call "absolute rates" (I have derived many equations for the relationship between relative and absolute increments of absolute rates, so I can judge)... perhaps one is solving these underdetermined systems of equations by some sophisticated methods... looking for pseudo-solutions... arranging singular decompositions... he's definitely a genius.
Or is he?
Oh, the man has solved this crucial metrological problem. He's found a benchmark, and a way of comparing it with it. The benchmark, by the way, is easy to find. It can be the value of any currency at any time. But how to compare "the dollar now" with the dollar "a year ago", which is the benchmark, is not a task for the average mind... the man has definitely solved it... For he is reasoning about "the behaviour of currencies, but not pairs"... about what I call "absolute rates" (I have derived many equations for the relationship between relative and absolute increments of absolute rates, so I can judge)... perhaps one is solving these underdetermined systems of equations by some sophisticated methods... looking for pseudo-solutions... arranging singular decompositions... he's definitely a genius.
Or am I?
Thank you for understanding. The complex lies in the simple. Everyone walks in formation under one flag and I have to walk alone. I'm not afraid.)
Thank you for understanding. The hard part is in the simplicity. Everyone walks in formation under one flag and I have to walk alone. I'm not afraid.)
Actually my last post was sarcasm. But if you have anything to say on the subject of absolute courses, I'm all ears.
Then I won't. I'll keep an eye on this nickname. How long will it last here)).
Co-integration may or may not be observed. In currencies, definitely not. The correlation in currency pairs is constant, but the currencies themselves are different. That is the paradox.
Here is the behaviour of currencies against the background of the pair chart.
In the basement, the pound chart is blue and the yen chart is white.
You don't have to invent anything
Everything has already been done before us.
pound and eva
As many people as there are gaffes - bottom of the Eur, top of the pound
As many people as there are gaffes - bottom of the eu, top of the pound
No, it's not.
Everyone who's interested in pair trading has thousands of these charts.
but not everyone is good at it