Machine learning in trading: theory, models, practice and algo-trading - page 2556
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Vorontsov is probably the best expert on MO in Russia. The course is therefore bound to be good, but since it is for IT people, it omits basic and important mathematics for us. I`ve noticed more than once, that for the application of mathematical methods in trading their basic, simplified form is not very suitable.
MO is based (see for example Tibshirani) on the assumption that there is a constant joint distribution of predictors and responses P(X,Y). From it, the conditional probability Py(Y|X) can be calculated, from which the regression Y=f(X) can be calculated. Eventually, this regression is approximated by some MO models. In the physical world, this theory more or less works. But not in trading. It turns out that P(X,Y) changes unpredictably with time (non-stationarity) and the whole theory collapses a bit.
The most popular approach is just to ignore non-stationarity and then be surprised with the results and complain about the MO).
MO is based (see for example Tibshirani) on the assumption that there is a constant joint distribution of predictors and responses P(X,Y). From it, a conditional probability Py(Y|X) can be calculated, from which a regression Y=f(X) can be calculated. Eventually, this regression is approximated by some MO models. In the physical world, this theory more or less works. But not in trading. It turns out that P(X,Y) changes unpredictably with time (non-stationarity) and the whole theory collapses a bit.
The most popular approach is just to ignore non-stationarity and then be surprised with the results and complain about the MO).
You couldn't have said it better.
Well done, but what to do?
How is regularity measured?
How is regularity measured?
correlation, entropy
Maybe there are others.
correlation, entropy
Maybe there are others.
What do you mean? Correlation, entropy.
What with what, when, why?
On the Internet the definition of irregularity is when there are gaps in dates with observations, what else do you mean?
Meaning? Correlation, entropy...
What with what, when, why?
On the internet, the definition of irregularity is when there are gaps in dates with observations, are you referring to something else?
cycles
cycles
A straight line has no "regularity" or "cycles," but it is predictable. There are many examples of this
Non-stationarity is a problem.
cycles
there are no cycles...
there may be complex sums of loops (interfection) but there are no loops in the usual sense
A straight line has no "regularity" or "cycles," but it is predictable. There are many such examples.
Non-stationarity problem.
The sloping straight line is nonstationary, and in fact we are talking about time series.
Stop talking nonsense, where did you weirdos come from again? :D it's just worth warming up the topic.
there are no cycles...
there may be complex sums of cycles (interfection) but no cycles in the conventional sense
it's clear that the quotes are non-stationary and it's cycles that are searched for