From theory to practice. Part 2 - page 82
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How are the first differences in the SB different from the first differences in the price series?
There's a lot of stuff there, it's a whole science of market microstructure.
For example, if we take different values for sampling times (different timeframes), the results will be different. At the tick level, the price is even closer to generalized Poisson processes than to SB. In the case of continuous-time SB (Wiener process), sampling at any time will essentially result in the same discrete SB.
A price series is the two components of a currency pair. Each currency in a currency pair has a life of its own. For instance, right now the EUR/USD is falling and both currencies are rising, just the second one is stronger than the first one.
There's a lot of stuff there, it's a whole science of market microstructure.
For example, if you take different values for sampling times (different timeframes), the results will be different. At the tick level, the price is even closer to generalized Poisson processes than to SB. In the case of SB with continuous time (Wiener process) when discretized with any timeframe the same discrete SB will essentially be obtained.
At different TF the first differences will differ only in absolute values.
Closer or farther is all subjective
On different TFs, the first differences will differ only in absolute values.
Closer or farther is all subjective
For SB it is, but not for prices. Check it yourself - compare samples of increments with tests for agreement of their distributions, count correlations, etc.
This is true for SB, but not for prices. Check for yourself - compare samples of increments with agreement tests, calculate correlations, etc.
Thank you, dear comrade!
But all this is a long way off.
For the particularly stoned - there are many banks, investment companies and hedge funds that make successful profits in the foreign exchange and stock market, but there is not a single "machine" that consistently beats the coin.
Because you can't cheat life
Thank you, dear comrade!
But it's all a long way off.
For the particularly stoned - there are many banks, investment companies and hedge funds that make successful profits in the foreign exchange and stock market, but there is not a single "machine" that consistently beats the penny.
Because you can't cheat life
I am not surprised by the emotional reaction to the offer to calculate) I remember that "automatons" "making money" on a coin, were swearing a lot in response to the offer to calculate the ACF SB)
I'm not surprised by the emotional reaction to the suggestion to count) I remember the "automatons" "earning" on a coin were swearing a lot in response to the suggestion to count the ACF SB)
Always admired your ability to slice up tasks for other people.
I have always admired your ability to slice up tasks for other people.
It's quite useful to ask what two times two equals from someone who talks about higher mathematics in a lengthy and unspecific way.
Naturally, SB is a non-stationary process, but it is a process with stationary (synonymous with homogeneous) increments. The term DS-row is used in econometrics.
Roughly speaking, if there is an algorithm by which a non-stationary series is constructed from a stationary series (for example, it is summation for SB), then this non-stationarity can (for our problems) be declared "simple" or "irrelevant", because for such series the problem of possibility (impossibility) to earn on them is solved strictly mathematically.
In my opinion, non-stationary price series are very "essential" and extremely "uncomplicated").
Do I understand correctly that:
1. it is impossible to make money on SB increments.
2. it is impossible to make money on an integrated SB.
And for these two statements, there is some strict mathematical proof?
3. The same mathematical proof for price VR does not exist, even for the simplified model, where price increments are formed as a product of CB Gaussian and Gamma distributions?
Do I understand correctly that:
1. it is impossible to make money on SB increments.
2. it is impossible to make money on an integrated SB.
and for these two statements there is some rigorous mathematical proof?
3. the same mathematical proof for price VR does not exist, even for the simplified model where price increments are formed as a product of CB Gaussian and Gamma distributions?