Discussion of article "Evaluating the ability of Fractal index and Hurst exponent to predict financial time series" - page 2
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SSA is not needed for the indicator in this article. All codes are attached to the text.
OK , thanks, I will look at the code in the terminal at the weekend, the topic is quite interesting
Didn't understand what the article was about. Maybe there will be a sequel...
"Fractality" is not measured in any way by the Hurst index. It can be used to assess the persistence/antipersistence of BP, no more, no less. There is no "pink noise" and "negative memory" in the market, of course.
Any Hurst indicator will describe Brownian motion, not only in yellow colour (fractional at H != 0.5) and will in no way suggest the presence or absence of market "memory", except in terms of long-term dependencies
Moreover, talking about "memory" in a 64 point window is, generally speaking, not serious. A process either has memory by itself (and it is long-range, for the whole depth of the process) or it has no memory at all. Initially, Hurst and R\S were interpreted correctly, as a long-range dependence in the form of a trend component. But as the window shrinks, it loses any common sense at all (the smaller it is, the less sense this indicator makes)
Right - there is no "pink noise" and "negative" memory in the market. And fractality is actually quite different in financial markets:
- fractals are the boundaries of an elementary structure (the shape of the structure is shown in the impulse equilibrium theory),
- and this structure is unambiguous and does not disappear (like TA figures or Elliott waves).
That is, fractality should be considered exclusively in relation to this form.
Therefore, no Hurst indicators can accurately determine the dynamics of market prices.
SSA is not needed for the indicator in this article. All codes are attached to the text.
What do you think this is? Be careful)
Where does the SSA come from?
Singular Analysis is not used in the article. Here, the fractality index is used to conclude whether a forecast can be made and whether it will be stable. The forecasting method is the next step. From the author's articles it followed that complex methods are not required. As long as the index is less than 0.5, the trend will continue to develop as it has been developing (scale in days), while the index is more than 0.5 - one should be ready for a reversal. But I plan to develop the indicator and Expert Advisor, combining SSA and fractal estimation, there is a chance that their capabilities will increase.
What do you think this is? Careful.)
Cross out the line. It's left over from debugging. Thanks for the hint, I corrected it, uploaded it, the editorial board will skip it and it will be fine.
Pops!
So you don't have to worry too much about the Hurst index, I've enclosed a book - read what they say about it.
Another question is that the breakdown indicator must be present in the TS. But, is it Hearst? I don't think so... Do a comparative analysis of several such indicators - it will be more interesting. And don't forget about the sample size - this value should never be chosen just like that, just for fun.
Dimitri, are you trying to show off a wit you've never had before?
I'm not saying that this article is as dumb as a door (although there is something in that phrase), I suggested that its author conduct a comparative analysis between different indicators of discrepancy at different sample sizes. And nothing more than that.
Just wrote in your style - so look in the mirror. Don't like the picture?))
You didn't understand the calculation method in the article. Right?
And about the author - he does not calculate the fractality index correctly in the code. And you - debugging, adjusting.
It is quite interesting that the topic and the article has generated discussions. However, it is true that among them the business and substantive part is smaller. To make the discussion more useful and businesslike, I suggest to get acquainted with its basis - the thesis of Starchenko N. C. FRACTALITY INDEX AND LOCAL ANALYSIS OF CHAOTIC TIME SERIES. Since Starchenko himself works and his algorithm is successfully used in CJSC "Intrust Financial Company", you should get acquainted with the work and think about it, well, and learn how to pass through doors. The thesis discusses "coloured noise", applications in econometrics, discordance and confident prediction in more detail.
Dmitriy Skub writes that the fractality index is incorrectly counted in the code. I would like to know more about what the error is in order to fix it (or better yet, a test dataset and the index value for it). Dmitriy's rating and experience is respectable and trustworthy to discuss such things with him.
I am pointing out to this uncle, as well as to you, the primacy of the sample size, which you probably don't know how to count. Or do you already think you are a Teacher? :)))
It is not the sample size that is primary, but an adequate model (in this case, the market) from which everything else follows. You don't have it.
I have it - not strictly scientifically proven, but empirically confirmed on a daily basis (daily means every trading day, without exceptions).
Did I teach anyone? I am just trying to help. That's how you perceive it for some reason)
:))) Hilarious. Wait for it. The teacher will certainly write you a "solution direction".