Two pieces of news
I don't get it, a special case of what is Dub's theorem? The theorem says that any series (absolutely any series) can be decomposed into two series, "martin" + "non-martin". That, to put it simply. That's all. What tautology is there? What are you writing about or at least understand what you want to write about?
Между лекциями в данном топике можно задавать вопросы или что-то обсуждать
And thank you for that. I'm touched.
As always, one is good, the other you know.
then the continuation of the lecture course will end at the most interesting point.
maybe you should put the lectures as articles and post them there. You know, this thread is not a safe place... what if the foul language starts, and what if it's "goodbye may love, goodbye..."?
Lecture 1. Introductory .
About problem setting.
One can repeat the worn-out TRIZ statement that the correct definition of a problem is its solution. Actually, although TRIZ itself is a matter of invention, it does not concern it at all. In fact, TRIZ is only a set of rules for problem setting, in the process of which no new discoveries are made and the way of application to the problem set is revealed for already known, mired and stale discoveries made once by someone.
Therefore, if anyone expects something new in this course of lectures, I have to disappoint, because: everything new is long-forgotten old. Moreover, on top of that much that is not old, much less forgotten, will also be included.
Let us begin with the task itself. Let's divide our definition into the classical parts (outlines):
1. Yes. What do we have?
2. Not given. What do we want to have?
3. The means to achieve p. 2. How do we make what we have into what we dream of? What must be done?
So:
1. Given or possessed: price BP
2. Not given, but would like to have: Profit
3. ?
Maybe the lectures should be formatted as articles and posted there? Because, you know, the topic is not a safe place... what if the foul language starts, and then "goodbye may love, goodbye..."?
Let's hope not for now.
1. Given. What do we have?
...
1. Given or have: price BP
It is important, of course for scientific purposes, to determine more precisely whether we are given a time series or whether we have a series. We should not be so flippant about such an important issue.
It does not matter, because statistically it is not us who have, but 95%-99% of the time BP has traders in all holes and in all positions, even those that the Kama Sutra does not cite for ethical reasons.
Not the point, because statistically it's not us who have, but 95%-99% of the time BP has traders in all orifices and in all positions, even those not listed in the KamaSutra for ethical reasons.
+1
Not the point, because statistically it is not us who have, but 95%-99% of the time BP has traders in all orifices and in all positions, even those not listed in the KamaSutra for ethical reasons.
You see how important it is to get to the bottom of the problem. I propose to scientifically elaborate on what was said above:
1. Given: A row has
2. Not given, but what do we want to get?
3. did not develop ....
Colleagues, as they say, a correctly formulated problem is 50% of the solution! It seems to me that we are now again (for the umpteenth time) on the verge of ... of a new understanding .... of the Oak theorem!
+1
What are you trifling about? Put at least 1.00000001, it's more than just 1. By the way, I wanted to ask the betters, "+1" of what? Roughly speaking, what and in what is measured?
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As always, one is good, the other you know.
1. The good news: Dub's theorem, is a special case. It could even be called a tautology, because: "A martingale cannot in any way be made non-martingale if it cannot in any way be made non-martingale".
2. The bad news. The financial markets fall under a special case of Oak's tautology. That is, if a time series of quotes is a martingale, then using all sorts of tricks such as changing the volumes of open positions or changing the frequency of open events, it is impossible to translate a trading strategy into a non-martingale state. I can only slightly ease the wording of the message that even if you eliminate all of the trader's overhead costs, such as spreads, swaps, commissions, etc., it would not be a problem. BP will not be a pure martingale (the term, pure means covered with tautology by Dub). But, this will still not make things easier, because the differences between pure martingale and BP of quotations are so insignificant that one cannot make money on them. Let us say the trader's overhead exceeds many times the doubtful profit that can be obtained from the non-marting prices VR.
Finally, the third piece of news. Martingale can be managed, i.e. it can be transferred to non-martingale states: from zero to positive or negative mathematical expectation. That is what I am going to not only report, but also justify.
And since it cannot be explained in two words, the topic will consist of a course of separate lectures, which will be labeled as follows: Lecture 1, Lecture 2 ... Lecture N. In between lectures you can ask questions or discuss anything in this topic. But I want to warn you, and many people know this very well, that I'm not going to cast my pearls before swine. Therefore, if in this thread there will be gathered a number of dissatisfied critics, who won't say anything but criticism as arguments, the continuation of the course of lectures will come to an end at the most interesting place.