Machine learning in trading: theory, models, practice and algo-trading - page 1646
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No one is arguing with that. I only believe that the "amateur radio" methods you propose are not suitable for solving the problem of unsteady prices. The main reasons, in my opinion, are the following:
1) Prices are NOT the output of some linear system - their behavior is much more complex.
2) There is NO "correct" way to divide prices into useful signal and noise - any such division is arbitrary.
Unfortunately few people here understand and agree with this.
Don't embarrass yourself)) If you have zero concept of the domain, that doesn't mean the domain doesn't exist
1) Prices are NOT the output of some linear system - their behavior is much more complex.
A graph is what?
a function of price versus time ??? YES!
it is discretized in time ?? yes !
it is quantized by price ?? yes !
it's digitized ??? YES!
from the wiki...
I don't know how ignorant you have to be to argue that price is not a digital signal)) I don't even know why I'm explaining all this to you, you pride yourself on your ignorance...
So remember once and for all: the price in trading terminals is represented as a digital signal
Digital signal processing methods are DSP.
All you guys have been inventing for years, it's been established, formalized and perfected, not knowing DSP methods is just criminal to yourself, to your time ...
2) There is no "correct" way of dividing price into useful signal and noise - any such division is arbitrary.
It's a scribe, face palm.
What about spectral analysis ??? Fourier, wavelets, pca, ssa ? pca and Fourier are over a hundred years old )) And you know what? It's DSP too, for fuck's sake!!!
That's how the unknown Nikolaev took and buried all mathematical statics and econometrics together...
Thank you... I thought I was the only one here.
The noise/trend/fleet division is subjective, but unlike "arbitrary", this division is framed and tied to market conditions. And arbitrariness is not tied to anything. Therefore, your thesis is partially true.
No, exactly arbitrary, because the same entity (trader) can make that split differently at different points in time for the same price area.
I would agree, if instead of the word "arbitrary" the term "subjective", i.e. - "the division of the price movement into noise/not noise is subjective". Market dynamics can be classified, - i.e. divided by signs/criteria reflecting the general state of the market, without understanding of which it is impossible to analyze the situation. Therefore, it is a necessary "arbitrariness".
Thank you! The main thing is not the division itself, what do we achieve by it, if the result is positive ...
You have confused the concepts, it's like a trading strategy, it's subjective? yes, so what of it? the main thing that makes money, that's the main thing, or we discard it because it seems subjective
The price is moved by the ideas that traders have in their heads (ideally).
Unfortunately this is not true - or rather it depends on the traded asset - if currencies, it is the Fed interest rate + manipulation, if commodity markets - it is supply and demand + manipulation, if stocks it is ????. - I think there is only manipulation because the accuracy of all reports is always questionable - I don't know in general, but the stock market is very fast, it's different there
No, it is exactly arbitrary, because the same subject (trader) can do this division differently at different points in time for the same section of prices.
No, it is subjective, not arbitrary, because the trader wants to make money, not to waste all of his "life" in the GTA.
Unfortunately this is not the case - or rather it depends on the asset traded - if currencies, it is the Fed interest rate + manipulation, if commodity markets - it is supply and demand + manipulation, if stocks it is ????. - I think there is only manipulation because the reliability of all reports is always questionable - I don't know in general, but the stock market is very fast, everything is different there
Physically, price movements are transactions by market participants. People move the price. I understand that it seems to the small trader that the price magically moves itself or under the influence of mysterious forces, but it's simpler than that. The people who make the trades move the price. They are the people (even if the robots are behind them). They have ideas, strategies, etc... This subjective "compost"moves the price and is getting deeper and deeper into schizophrenia.)
Physically, price movements are transactions by market participants. People move the price. I understand that it seems to the small trader that the price magically moves by itself or under the influence of mysterious forces, but it's simpler than that. The people who make the trades move the price. They are the people (even if the robots are behind them). They have ideas, strategies, etc... This subjective "compost" drives the price.
+++
He who knows what the crowd is thinking now has a prediction one step aheadNo, it is subjective, not arbitrary, because the trader wants to make money, not to waste all "life" in the GTA.
The trader's desire to make money is a perfectly natural property of the trader and is absolutely not any property of the price series.
God, I read people's posts and realize that most people have such a mess in their heads... I'm just shocked how they live.
A good replacement for the Automat is growing up)