Machine learning in trading: theory, models, practice and algo-trading - page 1794
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The presence of autoregression, when the price depends on the previous value, what does it mean in mathematical terms? The presence of dependence on factors, functional dependence, logical dependence does not mean dependence on previous values.
The concept of root (characteristic polynomial) is defined ONLY for autoregressive processes. There are reasons to consider any stationary process as autoregressive. There are also non-stationary autoregressive processes. But there are many more processes that are NOT stationary and are NOT autoregressive (and not reducible to them in any way) - for them reasoning about roots makes no sense at all.
I must have written it wrong. What does autoregression mean, dependence on previous values for stationarity and series convergence.
I can not connect the effect of an external factor and the dependence on the previous value, some kind of feedback in the radio, to determine the presence of a regularity of the series or SB.
Apparently I wrote it wrong. What does autoregression mean, dependence on previous values for stationarity and convergence of the series.
I can't reconcile the effect of an external factor and the dependence on the previous value, some kind of feedback in the radio, to determine whether there is a regularity of the series or SB.
I recommend reading Kantorovich's lectures on econometrics. For example here.
I recommend reading Kantorovich's lectures on econometrics. For example, there are some here.
Thank you. I am slowly reading them now.) I studied electrons, how they jump from orbit to orbit with Planck's constant.) Under certain influences a stationary probabilistic transition process is obtained and the laser began to shine.))) A random probabilistic and stationary process with feedback, the number of atoms needed decreases and is brought to alertness by reverse exposure. If the condition is not met, the laser goes out or may explode (the process may go exponentially.))
I don't see the connection between autoregression and the stationarity of the series. If a change in the function has an impact on the function, as in the classics of moving from city to city, there increased, here decreased, and in economics this is also the case, especially with double entry accounting) Then when external factors affect the price (function value), what sense does the inverse relationship between the nearest prices.
There is a certain sense in the force of action and counteraction on the price parameters. And if the counteraction is sufficient, the series is stationary. But it's too simple.
Markov chains, hysteresis loops, recursions have certain properties but an inverse dependence may be present both in a stationary and non-stationary process.
I see no connection between autoregression and the stationarity of the series.
The connection is established by the Wold theorem - any stationary process is MA(inf)
The connection is established by the Wold theorem - any stationary process is MA(inf)
It can be without feedback. The condition of the coefficients determining the width of the series to have NOT an infinite width. And then the series can be described as stationary and a moving average can be found.
If I'm boring you with nonsense), sorry.
edit Found it. Spc.
So there is something in common in moving average and autoregressive processes. However, there is a fundamental difference. TheMAprocess(τ) is always stationary, the reversibility condition simply provides it with some additional useful property. For theAR(q) process the condition is stricter: either it is stationary and therefore can be represented as a moving average or it is not.
In order to inspire local NS developers, I will present an interesting dialogue between man and machine from S. Lem's novel "Fiasco". It seems to me that this is what the future AI will be like, and this is what I would like to create myself.
Stirgard is the commander of the ship, GOD (General Operational Device) - AI working on the ship. The crew is trying to establish communication with a civilisation involved in a global internal conflict of an incomprehensible nature. The commander consults with the machine to make the best decision in a difficult situation with many unknowns.
I recommend reading Kantorovich's lectures on econometrics.
These are for academics. Already on page 10 it becomes unreadable.
Do you have the same lectures for people?
This is for academics. Already on page 10 it becomes unreadable.
Is there one for people?
I'm fine.)
How about the book by Box and Jenkins? It's not without operators, but it is more detailed.
In order to inspire local NS developers, I will present an interesting dialogue between man and machine from the novel "Fiasco" by S. Lem. It seems to me that this will be the future AI, and this is the kind of AI I would like to create myself.
Stirgard is the commander of the ship and GOD (General Operational Device) is the AI working on the ship. The crew is trying to establish a connection with a civilization which is engaged in a global internal conflict of an incomprehensible nature. The commander consults with the machine to make the best decision in a complex situation with many unknowns.
Peter, don't clutter up the airwaves ))
You could have just given a link to useless conversations)
Peter, don't clutter up the airwaves.)
You could have just provided a link to useless talk).