Machine learning in trading: theory, models, practice and algo-trading - page 2307

 
Aleksey Nikolayev:

I did find a couple of articles on related topics - the first and the second

However, they were not very impressive, but that's my problem.)

The author of the second article is known for taking interesting econometric ideas and turning them into bad bots)

The first one does not make much sense behind the formulas, unfortunately... what's being looked for and why

why not just take the bpf and show everyone the mother of god...

Roughly, in R or Python it's a few lines of code, and the rest is an independent study of how to trade it. The result is not a bunch of unnecessary information, which can be found on Wikipedia, but a reserch.

 
Maxim Dmitrievsky:

Why don't we just take the bpf and show everyone what's going on?

What kind of staging is that?

What do you mean, " just take the bpf and show them"?

It's like saying, "just take the candles and show..."

BPF is just a type of information presentation(like candles), not a magic grail.

 
mytarmailS:

What kind of staging is that?

What do you mean, " just take the bpf and show it"?

It's the same as saying "just take candles and show ..."

the bpf is just a type of information presentation(like candles), not a magic grail.

make a candy out of g, like a real craftsman

 
Maxim Dmitrievsky:

make a candy out of g, like a real craftsman

You don't want to make a sweet thing out of a stochastic, and you're not a real master...

 
mytarmailS:

You don't want to make a sweet thing out of a stochastic, and you're not a master...

Who's been pushing for DSP here? Or did you just leave the topic on the sly when you got down to it?

 
Maxim Dmitrievsky:

Who here has been drowning for the DSP?

it's all untrue)

 
Maxim Dmitrievsky:

The author of the second article is known for taking interesting econometric ideas and making bad bots out of them )

But - a hundred products in the market)

Maxim Dmitrievsky:

the first article, unfortunately, does not show the meaning behind the formulas... what is being searched for and why

Why not just take the bpf and show everyone what's going on...

Roughly, in R or Python it's a few lines of code, and the rest is an independent study of how to trade it. The result is not a list of unnecessary information that you can read on Wikipedia, but a rescore.

Judging by the spectrum plot looks like it should be for a process close to SB - the function is close to 1/x^2, though of course the slope angle in the logarithmic scale should be estimated. I would stop there, or I would try to show the significance of the difference between the price spectrum and the SB spectrum.

So there seems to be nothing wrong with the formulas there, except perhaps for their applicability to prices)

 
Aleksey Nikolayev:

But - a hundred products in the market)

Judging by the spectrum graph, it looks like what it should be for a process close to the SB - a function close to 1/x^2, although of course it is worth assessing the slope angle on a logarithmic scale. I would stop there, or I would try to show the significance of the difference between the price spectrum and the SB spectrum.

So there seems to be nothing wrong with the formulas there, except, perhaps, their applicability to prices)

But as written above, such tests do not pass... sometimes the SB is indistinguishable from the non-SB... or was it written about stationarity

In any case, you need a more sophisticated reserch, up to and including perversion. To prove that tsos are needed here for some reason

If you get an inexplicable but workable result, that's fine too. The explanation will be found with time.

 
Maxim Dmitrievsky:

But as already written above, such tests do not pass... sometimes the sub is indistinguishable from the non-sub... or was it written about stationarity

In any case, you need a more sophisticated reserch, up to and including perversion. To prove that tsos are needed here for some reason

If you get an inexplicable but workable result, that's fine too. The explanation will be found over time.

In my opinion, all traders who understand mathematics at least once tried to apply the spectrum theory to the markets. I (like many others) did not find anything there and I do not really understand how one can find anything there.Still, we all make mistakes sometimes and it is quite possible that someone has found something and is silent for obvious reasons)

There are still others who keep threatening to find something.)

 

I made a fractal Brownian motion, but I couldn't find any way to do it other than PF. Bottom line. Hearst is related to the color of the noise. By changing the slope of frequencies you can change the herst.

Now for the fun part, watch the hands. Persistence is trendiness and antipersistence is flatness. You can pick your own profitable strategy under them. That is, if I can turn the SB into a persistent series, then I can predict/earn on random?

Reason: