Matstat Econometrics Matan - page 15
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The world and the market are multi-faceted. But the way you look at it is the way you get out. Divide by trend/float and that's it at 0.5.
Why wouldn't it appear if dependence is introduced in SB).
Only through pairs of options (if suitable and cheap enough)
Fluctuations in volatility are bound to have an impact, because in reality Hearst is counted on a finite scale interval
Well, here it is from the category of "everyone goes crazy in his own way") I consider by means of zigzag the dependence of its length on its parameter - it is not difficult to calculate the level of significance of difference from SB. In a sense, it is an intermediate between theory and practice)
Probably, AK changes the analysis window due to thinning (implicitly, unnoticed by AK), shifts the sampling points, forming a higher TF, so he sees some changes in Hirst.
Changing the scale on the timescale doesn't change anything. Hearst is a degree as a function of Price versus Time. In the function y=sqrt(t), replacing a variable of the form t=kT does not change the degree (Hurst) in a power function.
Changing the scale on the timescale doesn't change anything. Hearst is a degree as a function of Price versus Time. In the function y=sqrt(t) replacing a variable of the form t=kT does not change the degree (Hurst) in a power function.
There are (and quite a few) chart trading systems/methods that don' t care which eye is on which, i.e. Hearst or H-oolatility. The chart division into trend / flat is not a given and a feature of any series, but only a very narrow view of the chart and trade, of course one can do this (but then it is a dead end), or one can do it in another way. Hence, we can derive entirely different methods, which cannot be attributed either to the trend methods, or to the flat methods. The world and the market are multifaceted. But the way you look at it is the final result. They divide it into trend/flop and with 0.5 we reach a deadlock, we come to Hurst, what is earned by the system going flat is lost with a trend and vice versa. There is a good cartoon on the subject - but I am too lazy and have no time to look for the link. (Expand your minds, fellow traders:)))
Here we discuss the theory of trading systems that use the fundamental properties of time series. Of course there are a lot of TS that don't care about Hearst: pattern, timing, baskets, arbitrage, overdrawn, buy/sell volatility, etc. etc.
We must be talking about different things. Take a sine wave for example. If the window is much larger than the period it is reversible, if it is much smaller than the period it is trending.
You are fooling yourselves here. The Hirst (near zero) of a sinusoid won't change if you thin out the counts.
The Hirst is the degree in the power function Price=Function(Time). On average, of course. If you have SB, no matter how much you thin the ticks, you won't get away from 0.5.
There is a relationship between adjacent ticks. But there is no way to thin out the ticks so that this relationship goes to minutes at least.
One and the same sine wave, you can simultaneously trade both (or) trending and (or) flat systems profitably. As desired. Hearst does not change :))))
Well, if you're being clever, don't be petty: any (with a small number of constraints) periodic function ...