Discussion of article "Price series discretization, random component and noise" - page 2
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Consideration of the actual mechanism of price dependence itself, is the domain of practitioner researchers. A significant event in a trader's life is the point of philosophical understanding (and level of professional maturity) when he or she finds himself or herself able to recognise a regular and consistent market evolution, the last stage of which is the complete dependence of price on itself with the severing of ties with the outside world.
It seems that supporters of applying the theory of dynamic systems for the market have been philosophising this philosophy for a long time. Have they philosophisedand philosophisedand have not philosophised enough?
Thank you! I'm planning to write about trends, it will be interesting.
The impulse equilibrium theory solves the problem in a different way:
- an elementary structure of price movement (called M-shape) is defined,
- the parameters of this structure allow determining the frequency of price impulse (at that, already at the initial stage of impulse formation),
- a dynamic trend is built on this basis, which is relevant for a particular impulse (of any scale),
- and it allows to transfer these actual trends of different scales to one timeframe, we get a complete, unified picture of multiscale price movement.
It's a nightmare. A sine wave on the input and a sine wave on the output.
На рисунке 7, показаны распределения плотности вероятностей черным цветом для ценового ряда, красным цветом для случайного блуждания.
Figure 7.
From Figure 7, we can see that the probability distribution density of the price series almost coincides with the probability distribution density for random walk. The probability distribution density of the price series has a slightly higher peak, slightly narrower and slightly shifted to the right, relative to the distribution density for random walk. This indicates that the probability of reversal of each next step in the price series is slightly higher than 50%, and there is a slight upward trend, but these differences are not large.
Most likely, the reason for the allocation is that the statistical study was done in points.
Most likely, the reason for the highlighted is that the statistical study was done in paragraphs.
And in what units would it be more interesting to do it?
What units would be more interesting to do in?
It is more logical to look in relative values. Therefore, it is reasonable to logarithmise the CEVR before statistical studies with returns.
It is more logical to look at relative values. Therefore, it is advisable to logarithmise the CEVR before statistical studies with returns.
You did not have this question when you took the price difference. It's the same here.
Why do bricks have both an upper and lower shadow? There are many bricks in Figure 4, some with both upper and lower shadows. If the closing price is higher than the opening price, then this brick is rising. At the time a rising price that meets the step size occurs, this brick should close immediately and there will be no price higher than this closing price, no upper shadow.
For rising bricks, the lower shadow is easy to understand. A price below the opening price appears, but then a closing price above the opening price appears. The length of the lower shadow should not be greater than the step length. Otherwise it becomes a falling brick.