FR H-Volatility - page 27
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Yes, Vinin, I agree, there is no such consistency (you can see it on the daily data - the volume varies from 4 to 13 thousand). So, we can try to normalize the volume within the equivolume bar by some average of the actual volume over a longer period.
Now, this is more interesting and I can go into more detail. Although I don't know if it is possible. (I'm worried about "fat tails", and in this approach it is possible to get away from them, although I have to check).
Looking at the figure, there is a noticeably greater relationship between the price increments in the OM coordinates.
I see, I think I've also come to the same conclusion that the number of ticks in a bar should be adjusted. As for the gradual increase in the number of bars. Well, what the hell with the increase, we had 1440 bars in a week (ticks), switched to ticks=5 and got 5677 bars, that's OK (we will just have 2 archives). It is a pity that only MT4 does not give us quote history in such a form and charts in such a representation too. I.e. to restore the evo-volume bars we need tick history :(.+ to redo everything manually (programmatically) and recalculate with tick arrival.
Movement is multidimensional and multidimensional, so you need to analyse it in different n-dimensions. And man has not yet invented anything better than visual analysis. I would like to see moving pictures
Mathemat, look here, the figure shows the volume distribution for hourly EUR/USD bars:
On the abscissa axis is the number of ticks per bar, on the ordinate axis is the relative number of such bars in the sample. Well, with such a wide distribution, how can we hope for the adequacy of the proposed transformation?
Yes, for times up to ten minutes. Further on it is more the other way round. I will propose a hypothesis: for moves close in amplitude to the spread, the price change discrecity is the main factor. Or vice versa: the spread will be selected so as to cover the influence of the price change discreteness.
:-))
Are we going to look for a key lost somewhere under a lantern?
P.S. Under the lantern, there are rather equilibrium bars. That seems to be the attraction :)
Looking at the figure, there is a noticeably large relationship between the price increments in the OM coordinates.
How does the ADC (anno-discrete converter) spread suppress ADC noise. ? But then if the discretisation step (by price) is 4th decimal place. How can we explain different spreads for different currencies if the step is the same?
I think it's simpler than that. The spread is chosen on the basis of the dispersion of the incoming price stream for the brokerage company
There is another important point: perhaps the autocorrelation function for equaltic bars is stationary to a substantially greater degree. Then averaging (and I assume it is the averaged curves in the figure) will extract the information contained in it. But for a substantially non-stationary one, it destroys it.
P.S. Under the lantern, there are rather equilibrium bars. That seems to be the attraction :)
I'm all for that too. The lantern is exactly there, everything is smoother there less catastrophic. And how many bars I have in this case on the screen what difference does it make.
Neutron, I see. It can't be nice and fluffy, much less sharp, but you can still at least look at such an equivolume chart with an eye. It will obviously become different.
And then, let's add a simple envelope to it. What do you think it will turn out? (My hypothesis is almost a Bollinger! Or rather, a Bollinger will become almost an envelope.) Exactly - an envelope, because I hope the volatility flattens out andthe p.d.f. of the obtained returns is closer to the Gaussian one.
I think it's simpler than that. The spread is chosen based on the variance of the incoming price stream for the brokerage house