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Machine learning in trading: theory, models, practice and algo-trading - page 2534

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Folks, how to properly logarithm, because it turns out such nonsense ?
Take the increments, translate into points, add 1, remove minus (then return).
Rorschach #:
People, how to logarithm correctly, because it turns out such nonsense ?

I don't really understand what's on your graphs (Q-Q plot?). It seems like you need to compare a sample of price logarithm increments to a normal distribution.

And really, everywhere you look, that one is sideways.

Q-Q plot, increments

variations on the theme

delta=(bid[i]-bid[i-1])/_Point;
if(fabs(delta)<FLT_EPSILON) continue;
price[index]=(delta>=0)?log1p(delta):-log1p(-delta);
index++;

In the first line there is a multiplication by 100000, but how much is it right?

You can not multiply, it will still be more than 1, but in this case we get 3 graph on the link.

Or you can multiply by 10000000, and again the graph will be different.

The main question here is how much to multiply the increments?

Rorschach #:

Q-Q plot, increments

variations on the theme

In the first line there is a multiplication by 100000, but how much is it right?

You can not multiply, it will still be more than 1, but in this case we get 3 graph on the link.

Or you can multiply by 10000000, and again the graph will be different.

The main question here is how much should we multiply the increments?

By the size of the contract, as an option.

LenaTrap #:

I don't want to write nonsense again with a clever look, it's a super classic idea, ridge regression was invented in1970.

I think it's been here before.

And then there's the problem of flatness and trending again.


Rorschach #:

Q-Q plot, increments

variations on the theme

In the first line there is a multiplication by 100000, but how much is it right?

You can not multiply, it will still be more than 1, but in this case we get 3 graph on the link.

Or you can multiply by 10000000, and again the graph will be different.

The main question here is how many times to multiply the increments?

Still try to take sample d[i]=log(bid[i]/bid[i-1])=log(bid[i])-log(bid[i-1]).

You can also try approximation without logarithms d[i]=bid[i]/bid[i-1]-1

Addition to previous comment

This is all multiplication in the first line of code

multiplication of increments by 10^5

without multiplication


multiplication of increments by 10^8


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