From theory to practice. Part 2 - page 109
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I agree that on small scales prices are more likely to be persistent and even advised the top starter to use this to diversify and reduce the drawdown of his return system.
On the contrary, there is clear antipersistence on small scales for a wide range of instruments.
On the contrary, there is a clear anti-persistence at small scales for a wide range of instruments.
Ah, well, you have written less than 0.5, then it turns out that I disagree) But I investigated not small times, but the probability of continuation of small movements. The times there were obviously much longer - probably minutes. I got it that moves under 0.2% are more likely to continue, and over 0.5% are more likely to reverse (that's currency majors)
Ah, well, you said less than 0.5, so it turns out I disagree) But I wasn't investigating small times, I was investigating the probability of small movements continuing. The times there were clearly much longer - minutes probably. It appears to me that movements under 0.2% are more likely to continue, and over 0.5% are more likely to reverse (that's the currency majors).
I'm referring to ticks. It's noticeably less than 0.5 there. On the minutes it is almost certainly 0.5.
It all depends on the choice
Yeah, about 55 years ago we used to say "And in a madhouse the valenki ... is ...". Probably made the right choice...)))
Although now they have already surpassed the theory of planting potatoes in beds. They already suggest planting in vases of at least 15 litres. Some crates might be suitable too. Mine planted two of them. I'm poking her every day: "Your potatoes are already blooming..." At first she smiled something back, but now she's just stopped responding to it. It's only been three days.
I mean the ticks. It's noticeably less than 0.5 there. On the minutes it is almost exactly 0.5.
We should also compare the degree of deviation with the spread. I do not understand how to do it with Hurst, therefore I use statistics of zigzag knees. I construct the zigzag by ticks, but when the zigzag parameter is too small, its price at which it is calculated starts to play a role (usually I use the logarithm of the geometric mean between Ask and Bid)
You also have to compare the degree of deviation with the spread.
That's the point. On ticks, if you count at Last prices, Hurst is 0.4. But you can't take the money back because of the spread. On the minutes, it's 0.5. There's no free money.
That's the thing. On ticks, if you count at Last prices, Hurst is 0.4. But you can't take the money because of the spread. On the minutes, it's 0.5. There's no free money.
You can't argue with that, but it is interesting at what scale the deviation compensates for the maximum percentage of the spread. True, there is hardly any sense in such calculations, because the error will be comparable to the result.
In the genre of modern fairy tales I am much closer to Pelevin's work than to that of the Wachowski sisters. He wrote somewhere that if there are two options to choose from, in fact there are always three.) Accordingly, I choose this third, offered implicitly.)
It's a shame that (as usual) there won't be any specifics about the magic formulae)
Pelevin is not the author, but a plagiarist, as he fails to mention the Buridan donkey problem, which is two thousand years old. He (the donkey) never chose from which trough (left or right) to feed, so he chose the third option - he starved to death.
Can't argue with that, but I wonder at what scale the deviation compensates for the maximum percentage of the spread.
None.
True, there is hardly any sense in such calculations, as the error will be comparable to the result.
True. Such calculations don't make any sense. Because the fish aren't there.
That kind of calculation doesn't make any sense. That's because the fish aren't there.