Stochastic resonance - page 9

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lna01:
grasn:

Perhaps, just which reference model to choose to deal with the noise.

grasn, I think you forgot to add: "potential not offered" :)
:О)))


Oh man. On another sly query to google about signal/noise intensity, it showed our thread in the first top and "recommended" looking there. :о)))

 
Let me speak as a joke, maybe it will make some associations for some people. In search of some value we either calculate it (see noise intensity from grasn) or compare with something (well, we calculate it too), remember what is 1hp. - is a horse with height of 1 meter and weight of 1 kg, so as our horse we can use white noise on one hand and "black noise" (straight line) on the other hand, the noise we are interested in and its value is somewhere in between. In this way we will come up with some coloured (I've said that) characteristics of the phenomenon.
 

According to Peters, it's either brown or pink. I've forgotten a bit, I'll have to read it again... And I liked the horse thing.

 
Mathemat:

According to Peters, it's either brown or pink. I've forgotten a bit, I'll have to read it again... And I liked the horse thing.

That's if you think of everything as noise. And if the noise is only part of it, then ... something in the soup is missing :)
 
Avals:

Vinin is right:

http://....

And right about what? He wrote "Sorry, no answer". This is a reference to calculating signal-to-noise ratio (I've already programmed it) and has nothing to do with noise intensity calculation. But what is needed is noise intensity, which is what stochastic resonance theory "insists upon" and makes the distinction between the two.
 
lna01 писал (а): That's if you take EVERYTHING as noise. And if the noise is only part of it, then ... something in the soup is missing :)
Well, yes, it looks like it. It turns out such a strange thing: the usual sum of noise (one p.d.f.) and a weak regular signal (sort of non-random), which is sporadically amplified to trending black swans, is such a random "colour" process (second p.d.f., coloured). I don't like this...
 
Mathemat:
lna01 wrote (a): That's if you take ALL of it as noise. And if the noise is only part of it, then ... something in the soup is missing :)
Well yes, it looks like it. It turns out such a strange thing: the usual sum of noise (one p.d.f.) and a weak regular signal (sort of non-random), which is sporadically amplified to trending black swans, is such a random "colour" process (the second p.d.f., colour). I don't like this....
Mathemat, enlighten me, literally two words or one link, what is the beast (one p.d.f.) , I am weak in theory, I am learning however.
 

2 grasn

Basically the last page said it all.

Avals quite rightly stressed the presence of signal and noise in the same stream. How to separate them? There are only two options: either you can define signal or noise. For me personally the first one seems more logical, we enter Forex hoping to predict the trend (even if it's a flat). If the prediction is correct, then we can make profit from it. However, we are not trying to "decipher" all the way to the information contained in the price chart. That's why when we define trends we want to find (or detect their presence) in the data flow, we will get three signals (up, down & flat) which are interesting for us. Everything else is noise.

Next. About intensity. In physics, intensity, luminosity, specific power, etc. - are all specific quantities related to the flow of energy per unit time. In other words, there is, firstly, space and, secondly, the process of energy propagation in it. Hence, we get units of measure such as J/(m.sq.*sec.). Besides, I think nobody will object if I say that the process has an oscillatory nature - the area of price values is locally limited and the set of price values for the period of staying in this area covers it completely. For this reason, we all consider not an instantaneous market condition, but a certain slice of its history that allows us to distinguish random fluctuations and some trends with more or less success.

It follows from all this that it also does not make sense to consider noise intensity as a power (i.e. in J/sec). So, there is only one thing left: in this case, the intensity should be understood as the energy of price fluctuations. The sense of it is clear - we cannot divide Forex into parts, components, units, sequential processes etc. The whole process exists as a whole. In this sense the price data stream reminds me personally of a signal received from the space: nobody knows who generates it, what information it carries, in what language, what is the encryption key, etc. But we can calculate the energy of this signal. Naturally, with limitations imposed by Heisenberg's uncertainty principle.

The energy of price fluctuations is also good for other reasons. Energy is an additive quantity, so splitting a data stream into signal and noise will split the energy of this stream into noise energy and signal energy. And in spectral analysis everything is known about energy. And volatility energy accounts for, because sk is nothing more than a statistically accounted for amplitude of oscillations.

Candid's remark about the perceived range is great. Everyone has their own speculative ideas. One wants to play on minutes, the other on days. It is clear that for them the perception of trends will be completely different. And so the same what the day trader sees as a trend, the one who plays on the days will see as noise. So, imho, one should not take the word signal in an absolute sense. It would be more correct to define one's own interest and filter it out from the data stream.

One last thing. Energy is directly proportional to the product of the square of the amplitude by the frequency. But the coefficient of proportionality, believe me, does not play a role. So don't suffer, don't poison yourselves with beer and bravely go to war. :-))

 

p.d.f. - probability distribution function, a probability density function. "Black swan" is Taleb's term from his Fooled by Randomness. These are rare but crushing events whose frequency in the market is much higher than what it should have been under the "normal hypothesis" of the returns distribution. References:

http://stock01.narod.ru/ - there are both Peters' books at the very end.

Taleb: http://forex.kbpauk.ru/showflat.php?Cat=&Number=56570&page=0&view=&sb=5&o=&fpart=&vc=1#Post56570, found in Library/Story.

There are both English and Russian versions in the branch. But it's better to read in English, as Zakarian's translation is disgustingly vile. ...

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