How do you measure noise? - page 3

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Vladimir Suschenko:

The market does not change, there may just be different market situations. If a successful model for 2008 does not work in 2011, then the model was situational and not based on key market properties.

Right. Everything is frozen and stagnant. No development, no changes. There can only be "situational" models that reflect the current state of the object. And preferably also keeping track of it.
 
Yuriy Asaulenko:
Well, yes. Everything is frozen and stagnant. No development, no change.
Why exaggerate? Not frozen and frozen, but the fundamental laws don't change. Summer may be rainy, winter may be warm, and spring cold, but there is an invariable rule - after spring comes summer, then autumn, winter and spring again, not vice versa...
The market has its basic laws, one of which is that the winner is always the one who sells more than he buys and buys cheaper than he sells.
Tales of market volatility are a consequence of misunderstanding the basics or misinterpreting the current market situation.
 
Vladimir Suschenko:
Tales of market volatility are a consequence of not understanding the basics or misinterpreting the current market situation.
Well, at least that's the way it is. At least the market situation is changing. :) And it changes so much that 5-7 years ago such market situations were unthinkable. For example, the appearance of the HFT changed the market situation radically.
 
Bollinger gangs are useful for noise. Narrow bollinger - less noise. Wide bollinger - more noise.
 

Gentlemen, give us a small definition of what noise is. and then we can talk about it. There are no specifics.

Noise is some kind of deviation from something, as I understand it. If it's a deviation from a signal. Then what is the signal? How is it stretched over time and on the price scale?

Abstract reasoning will get you nowhere unless you start from a clear subject of discussion.

 
Владимир:

Gentlemen, give us a small definition of what noise is. and then we can talk about it. There are no specifics.

Noise is some kind of deviation from something, as I understand it. If it's a deviation from a signal. Then what is the signal? How is it stretched over time and on the price scale?

Obstract reasoning will get us nowhere, unless we start from a clear subject of discussion.

I think it all contributes to uncertainty, which in turn is perceived as noise.

Then price quotes went from being in fractions - the smallest increment was once one-sixteenth of a dollar, or a teenie - to decimals in 2001. The switch aided automated and high-frequency trading, which took off in a big way. More electronic exchanges were set up. The market fragmented even further.

Now, with 13 stock exchanges, 12 options exchanges, and 40 dark pools (small venues run by banks and exchanges where large orders can be placed without being seen by the rest of the market), there are concerns that things are too complex.

The concern is over the fact that the fragmentation gives some firms - namely those with the fastest technology - an unfair advantage over others. And competition among the exchanges has them giving some clients perks, like access to data that others don't get.
 
lilita bogachkova:

I think this all contributes to uncertainty, which in turn is perceived as noise.

Then price quotes went from being in fractions - the smallest increment was once one-sixteenth of a dollar, or a teenie - to decimals in 2001. The switch aided automated and high-frequency trading, which took off in a big way. More electronic exchanges were set up. The market fragmented even further.

Now, with 13 stock exchanges, 12 options exchanges, and 40 dark pools (small venues run by banks and exchanges where large orders can be placed without being seen by the rest of the market), there are concerns that things are too complex.

The concern is over the fact that the fragmentation gives some firms - namely those with the fastest technology - an unfair advantage over others. And competition among the exchanges has them giving some clients perks, like access to data that others don't get.

It is an interesting phenomenon that uncertainty in the future becomes a pattern in the past. It follows ???

What follows???

 

If we approach the question purely formally, then noise can be defined as the difference between the data and some kind of smoothing built on it. For example in the figure of the opening price in EUR/USD on H4 for 17 years, the red line is a moving average with a period of 51.


 

And this is what the difference between the smoothing and the closing prices looks like - the proverbial noise.


You can even see by eye that its character is changing all the time.

 
sibirqk:

And this is what the difference between the smoothing and the closing prices looks like - the proverbial noise.


You can even see by eye that its character is changing all the time.

It's getting more interesting.
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