Stochastic resonance - page 8
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The concept of "noise" does not exist without "useful signal". i.e. you must first define what a "useful signal" is, noise will be found automatically. A useful signal cannot be defined without a formal description. Noise is found automatically as a difference between a signal and a "useful signal". If this difference cannot be described with the current knowledge of the process, it is called "chaos".
In terms of trading - the processes on small frames influence the formation of the more global ones if there are preconditions for that. For example, a breakdown on the minutes will start an avalanche which will form a trend on the daily chart, but if there are preconditions for that. The potential is accumulated and its realization will start due to "chaotic" moves. Chaotic, of course, only from the point of view of a particular observer (his information about the process). Potential in the market can be thought of as the pent-up desire/need for a significant part of the capital to make certain transactions. Sentiment, one of the names of this potential.
Everyone understands this very well and has written about it before. The options are many and I will have to go through them all without exception. Consider that the noise is already there. Better yet, help me determine the intensity of the noise.
I am also interested in this topic. I'll state right away: I won't give a definition of noise intensity. I have repeatedly tried to make the point: there is no signal and noise separately in the price, it is a single scalar process (and in general in all instruments - vector), i.e. a random function of time with certain spectral properties (according to some formalizations - fractal, chaotic, wavelet etc.), i.e. noise, but not white. As soon as it comes to non-random component, the question arises immediately - how to isolate it. The question methodologically absolutely not idle, because, firstly, it really had no answer yet. And secondly: how in the ultra-complex market machine, as SK recently wrote figuratively, by ear, hand and foot (I can't guarantee the accuracy of the details of the image) to determine where "it" will move? Concerning a question (about noise), how in this essentially nonlinear and non-stationary (I would add rather conditionally stable) dynamic system the useful signal and noise are related, additively, multiplicatively or somehow? Formalisation is needed. And here, probably, stochastic resonance model will be applicable. "You have to dig.
I am also interested in this topic. I'll say this straight away: I will not give a definition of noise intensity. I have repeatedly tried to make the point: there is no signal and noise separately in the price, it is a single scalar process (and in general in all instruments - vector), i.e. a random function of time with certain spectral properties (according to some formalizations - fractal, chaotic, wavelet etc.), i.e. noise, but not white. As soon as it comes to non-random component, the question arises immediately - how to isolate it. The question methodologically absolutely not idle, because, firstly, it really had no answer yet. And secondly: how in the ultra-complex market machine, as SK recently wrote figuratively, by ear, hand and foot (I can't guarantee the accuracy of the details of the image) to determine where "it" will move. Concerning a question (about noise), how in this essentially non-linear and non-stationary (I would add rather conditionally stable) dynamic system the useful signal and noise are related - additively, multiplicatively or somehow? Formalisation is needed. And here, probably, stochastic resonance model will be applicable. "You have to dig.
But this digging will require a lot, a lot of resources. Both machine and human.
Judging by the difficulties encountered, a physical quantity called "noise intensity" does not exist :) . So we need to invent one :)
Firstly, dimensionality rules - it must have the same dimension as what it is added to.
Secondly, if we're talking about modelling, we'd be using some sort of probability distribution when generating noise, most likely normalised. Both the "frequency" of the generator and the resulting normalisation (although it makes more sense to call it amplitude - in a narrower sense) can be related to the intensity.
If I write "to Candid", will it make sense, because I'm already used to it? :o))))
to Candid
It does exist, just type it into a search separately or in conjunction with the term "stochastic resonance". Most commonly, it is denoted as D or epsilon. It is most likely some very specific thing, possibly dependent on the model in question.
It is found as a normalised value, taking values from 0 to 1, and in other variants. But the point is that in the models reviewed it does not add up on its own, but comes in with different "extras".
to Candid
It does exist, just type it into a search separately or in conjunction with the term "stochastic resonance". Most commonly, it is denoted as D or epsilon. It is most likely some very specific thing, possibly dependent on the model in question.
It is found as a normalised value, taking values from 0 to 1, and in other variants. But the point is that in the models reviewed it does not add up on its own, but comes in with different "extras".
Well, knowing the dimensionality of "additive", it is easy to reconstruct the dimensionality of this "intensity". But it could very well be that the word is used for ... er ... different coefficients, i.e. it really depends on the model. This would imply that there is no generally accepted agreement on such a physical quantity.
P.S. about "P.S." - i.e. define as power density? Well then by restoring the dimensionality it would be possible to understand the density "on what" is meant
Here's a theory: intensity is the power in the perceived range.
to Candid
It's not so simple with the additive coefficients and basically they are more dependent on the model chosen. But the noise intensity as a generally accepted specific quantity rather exists and should be looked for in a direction such as "effect of noise on some instrument" or something like that rather than in basic DSP books where noise is mentioned in one or two paragraphs at most.
Perhaps, just which reference model to choose to deal with noise.
Perceived range for the ear or for the eye? :о) But there's something to that if you replace it with "bandwidth" :o) :о)
Perhaps, just which reference model to choose to deal with the noise.