Machine learning in trading: theory, models, practice and algo-trading - page 2517
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The model with the sum of increments, alas, does not apply to the market, because the market is a non-Markovian process.
By non-markovian, we mean a certain "memory". How to interpret it is up to everyone. But it is there. I use it as a "return to the mean" in a particular time reference frame.
Any non-Markovian process can be made Markovian by expanding the space of states. As a simple example, the Fibonacci numbers. If we consider a two-dimensional space of states consisting of pairs of consecutive numbers, the dependence on prehistory disappears.
(x,y) ->(y,x+u)
(1,1) -> (1,2) -> (2,3) -> (3,5) -> (5,8) -> ...
A similar technique of expanding the space of states to obtain Markovianness is used, for example, in the Hidden Markov Model (HMM)
You already know how to calculate the ACF of the SB, don't you? Unlike smartlab, you can't ban me for this question here)
Alexey, you are asking the wrong question. Your approach to the subject is florid. You have to ask straightforwardly: "Can I make money on SB?". On smartlab for the wrong answer you can get in the BS.
P.S. Even here, "accidental wanderers" diminished. Here already Automat is not with us. Last hope for Alexander.)
Alexei, you are asking the wrong question. You are being florid in your approach to the subject. The question should be straightforward: "Is it possible to make money on SB? On smartlab, a wrong answer can land you in the blacklist.
P.S. Even here "free riders" are diminished. Here already Automat is not with us. Last hope for Alexander).
What is the right answer?
Yes, the right answer is known to everyone and no one is interested in it. I am interested in the answer of such colorful characters, as was the machine. And Alexander's answer is interesting. With his energy and passion.)
Yes, the right answer is known to everyone and no one is interested in it. What is of interest is the answer of such colorful characters as the automaton. And Alexander's answer is interesting. With his energy and passion).
Yeah, you found the authorities
Well, it's not your opinion that interests me - no normal state, no coloring in his speeches
Yeah, I found the authorities
Did I write somewhere about authorities? I wrote about colorful characters.
Well, it's not your opinion that's of interest to me - no normal state, no coloring in the speeches
Alexei, you are asking the wrong question. You are being florid in your approach to the subject. The question should be straightforward: "Is it possible to make money on SB? On smartlab, a wrong answer can land you in the blacklist.
P.S. Even here, "accidental wanderers" diminished. Here already Automat is not with us. Last hope for Alexander).
Anyone who can't calculate the ACF SB is unlikely to be able to understand the point of proving the impossibility of making money on SB.