Random Flow Theory and FOREX - page 52
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Yurixx писал(а) >>
Well, this one's a gem. We don't really care what the mathematicians have proved. We can make money out of thin air, too. However, it's probably Timbov's random rambling that people are making good money on. Well, we will have to wait for the definition. Otherwise it will remain the ninth wonder of the world.
People, please, for God's sake, give at least one link to serious literature, where mathematicians strictly prove the impossibility of winning in a game based on random walk, e.g. on flipping the right coin.
After all, you do realise that everything depends on the conditions of the game. I recently gave just such an example, when the game conditions allow one of the participants to steadily beat the other exactly on the process of flipping a coin. It's true that creating the same conditions as in a game of Penny, when playing against the market, is unlikely to work.
But that is not proof that it is not possible to create a profitable system for a game based on a stationary random process. It is on broker conditions.
Try to explain the stationarity of a random flow of quotes when the price of a unit drops fivefold to unit holders! And it's nothing - they neglected the thick tails in the bell of the normal distribution.
Falling fivefold is investing in high-risk assets. Probably, if shares had gone up fivefold, no one would complain. But these are two sides of the same coin. What we fought for, we got what we got. Normal markets do not fall like that.
The stationarity probably cannot be explained, because the random process of quotes flow is NOT stationary. Surely some of the shareholders know this.
If fat tails are concerned, one should forget about normal distribution, so such an assumption is inadmissible for the model used. There is a stable distribution for that. And it's not a trifle. The assumptions must be reasonable.
But that's not proof that it's not possible to create a profitable system to play based on a stationary random process. It is on broker conditions.
A profitable strategy on a stationary random process is created on the count. The problem is that price is NOT a stationary random process. The problem is precisely getting a stationary traded process.
>> So, what's next?
Yes the fact that the efficient market theory gets a sequel that better describes reality. And that's just one theory, off the top of my head.
A profitable strategy on a stationary random process is created by counting once. The problem is that price is NOT a stationary random process. The problem is precisely to get a stationary traded process.
Whether it is stationary or non-stationary depends on the rule of choice for observing the process (testing in TV terms). It is not a property of the process, but a property of the observation of the process. The same process may be stationary in one set of observations, while it may be non-stationary in another set of observations.
Stationarity or non-stationarity depends on the selection rule of process observation (testing in TV terms). It is not a property of the process, but a property of the observation of the process. The same process in one series of observations may be stationary, in another series of observations the same process may be non-stationary
The farther into the forest, the thicker the partisans :)
Yes the fact that the efficient market theory gets an extension that better describes reality. And that's just one theory, off the top of my head.
A very interesting observation in the crisis.
People, please, for God's sake, give at least one link to serious literature, where mathematicians strictly prove the impossibility of winning in a game based on random walk, for example, on flipping the right coin.
After all, you do realise that everything depends on the conditions of the game. I recently gave just such an example, when the game conditions allow one of the participants to steadily beat the other exactly on the process of flipping a coin. It's true that creating the same conditions as in a game of Penny, when playing against the market, is unlikely to work.
But that is not proof that it is not possible to create a profitable system for a game based on a stationary random process. It is on brokered conditions.
I did, I attached it, see in this post.
The farther into the woods, the more partisan :)
It's simple - in reality, there are no probabilities and random walks are not included. They are abstractions to study the properties of observing real processes. I.e. it depends on how one observes. In reality, it all comes down to the observer being aware of the properties of the process and making proper observations about them. Therefore, it is meaningless to talk about the SB market for example. SB can be a certain series of observations of the market.
Falling fivefold is investing in high-risk assets. Probably, if shares had gone up fivefold, no one would complain. But these are two sides of the same coin. What we fought for, we got what we got. Normal markets do not fall like that.
The stationarity probably cannot be explained, because the random process of quotes flow is NOT stationary. Surely some of the shareholders know this.
If fat tails are concerned, one should forget about normal distribution, so such an assumption is inadmissible for the model used. There is a stable distribution for that. And it's not a trifle. The assumptions must be reasonable.
And to be completely consistent, we should forget about stationarity and approach capital markets in general and Forex in particular as non-linear dynamical systems and not to waste time on stationarity.