FR H-Volatility - page 29
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Yurixx, bravo (no irony)! The world does not exist until there is an observer (measurer) in it. And here the observer is the transaction (or quotation). Transactional time rules! And there's nothing between the counts, and there's no need to make up theories about a continuous stoch. process.
P.S. I like that kind of solipsism... "There is no world until I measure it".
Mathemat, my dear, I understand your skepticism, and I have the same negative attitude to solipsism. But you acted as a mathematician and I as a physicist, and the difference is this.
Man is not an observer in this process, but an agent. So there are really 3 people here. One is an observer and far away, and 2 people (buyer and seller) are market agents. If they aren't there, believe me, there won't be a price. And as long as they are gone, there is no price. And since 2 out of 3 is the majority, I'm righteous after all. :-))
Well, well... Let's get back down to earth. ...
Operational time, in my skeptical opinion, partially filters noise. That is, it does indeed sort of reduce it. But it also reduces the amount of useful information to a much greater extent.
P.S. I've been to Ukraine in times of hyperinflation and I don't remember any problems with buying anything for "coupon pounds" :). I think if there were moments of "confusion" in the market, they were very short-lived.
OK, Candid, it filters, that's understandable. But who is filtering? God, i.e. DC. We see nothing but ticks of our brokerage company, and we do not need it, because we trade ticks of this brokerage company, and it does not know ticks of other companies. Then what is the sense to search for missed information (which, of course, objectively probably exists)? The ticks of our DC and only our DC are that very flow of sigma-algebra (mechmatics, am I not too wrong in using this term?) that we are given and based on which we can statanalyze. So let it exist, this price, as long as there are no ticks (in fact, it exists and is equal to the last tick, as long as it is not obsolete). But we don't care about it as long as it doesn't change.
I don't know and don't want to know how many total trades (measurements) happen per second in the world, including between my DC's ticks. Therefore, as the DC is my Lord (on Foreh), any other information from outside sources that doesn't pass its filters is otherworldly to me. I'm leaning towards a discrete process model though.
A continuous worldwide quoting process is unobservable because the quoting source is not singular. And my DC makes it observable to me, but also makes it discrete.
2 Neutron and Mathemat
Can't attach the zip either. I guess it's a problem with the site. Here is a link where you can download the data
http://ichart.finance.yahoo.com/table.csv?s=%5EVIX&d=11&e=13&f=2007&g=d&a=0&b=2&c=1990&ignore=. csv
As far as I understand the basis of what we work with is bank quotes, i.e. the prices at which the bank buys/sells currencies (as far as forex is concerned). In other words, I assume that the price dynamics is not directly related to the number of deals, it is rather related to the imbalance of selling/buying. In other words, I assume that there are much more deals than ticks and in their (ticks') absence the price does exist.
P.S. I've been to Ukraine in times of hyperinflation and don't remember any problems with buying anything for "pound coupons" :). I think if there were moments of "confusion" in the market, they were very short-lived.
I didn't say price was related to the number of trades. And, no doubt, the price is present if the deal is made at the same price, but made! Moreover, if I say "price is absent", then of course it is in a sense an abstraction. Just like the phrase "the price is present", because neither of these claims can be proven until the buyer and seller are found .... Here is another picture, if you really need proof - the gap which occurs in Forex on Monday. Are you going to argue that the price has existed all this time and was unchanged, and jumped from the opening? Or are you going to say that it has been changing all this time continuously? Neither the first option, nor the second or any third is correct, because there is no situation that would manifest this price. Even when there is a gap, it is not the price that is reflected in the gap, but the expectation that it has changed over Saturday-Sunday. And the price is only obtained some time after the opening, when the flow of trades has aligned expectations with the real market. The same applies to flips on the news.
There was hyperinflation in both Ukraine and Russia, although not to the same extent. I was a businessman during those times and I remember very well how the flow of sale/purchase stopped at certain moments. At the shop level it was felt to a lesser extent, but it also happened, but as a permanent condition it was certainly not the case.
I only see it in this aspect.
I don't care what I analyse, whether it's a price or some other phenomenon of nature, however speculative. In order to investigate this process, I need
- the error margin of the device is minimal
- the measurement must be continuous, even if it is a discrete process.
In this case it is a curve in XY coordinates.
Analyze along the axes. Usually all measurements are associated with an error,
Y-axis price, accuracy class is not known, as there is no standard to compare it with. The only reasonable explanation so far is measurement noise +-1 related to sampling on this axis. So called ADC noise. Otherwise it seems to be a perfect meter (although the inertia issue is not clear).
X-axis, here all is not well.
It is desirable, if there is no possibility of continuous measurement, to have at least measurements at equal time intervals. The sampling rate should be = constant.
Here this condition is not fulfilled, hence the instrument is lying and missing measurements. It is necessary to fill in the gap with missing digits, as there is nothing else to do.
Looking from this point of view, minutki is nothing but information compression and nothing more, whereby with input stream we do non-linear (irreversible) transformation. The purpose of this transformation is to reduce the amount of stored information. The best option is not to compress at all.
If you do it correctly, you should calculate maximum possible sampling rate and make up measurement skips according to linear law. And this sequence should be stored. For compression of the stored information without its loss to use only increments of +-1 point, the size commensurable with noise of ADC on a Y-axis.
Further compression leads to loss of information.
The device itself should represent measurements in the form convenient for analysis. Preferably at the push of a button.
And I would very much like to have as many of these buttons as possible
I tried attaching a zip archive and it worked. Maybe it's the file name. Please let me know the name and size of the zip archive if possible.
My bad. I was attaching an rar, I should have attached a zip.
I never said price was related to the number of deals.
...
Or would you say that it has been changing all this time continuously ?
Yes, I missed that turn :), because I was talking all along about ticks, i.e. price changes.
I was also talking about a continuous price-generating process, which undoubtedly continues into the weekend. The question of the existence of the price beyond the ticks is solved easily: just choose the moment between the ticks and make a deal in the terminal :). In general, the word price may also have different meanings, all the time I meant the number in the terminal, i.e. already measured price.
OK, Candid, it filters, that's understandable. But who is filtering? God, i.e. DC. We see nothing but ticks of our brokerage company, and we do not need it, because we trade ticks of this brokerage company, and it does not know ticks of other companies. Then what is the sense to search for missed information (which, of course, objectively probably exists)? The ticks of our DC and only our DC are that very flow of sigma-algebra (mechmatics, am I not too wrong in using this term?) that we are given and based on which we can statanalyze. So let it exist, this price, as long as there are no ticks (in fact, it exists and is equal to the last tick, as long as it is not obsolete). But we don't care about it as long as it doesn't change.
I don't know and don't want to know how many total trades (measurements) happen per second in the world, including between my DC's ticks. Therefore, as the DC is my Lord (on Foreh), any other information from outside sources that doesn't pass its filters is otherworldly to me. I'm leaning towards a discrete process model though.
A continuous worldwide quoting process is unobservable because the quoting source is not singular. And my DC makes it observable to me, but also makes it discrete.
Here's my analogy: if we want simplicity and "beauty" we mow the lawn (or lay asphalt). If we want to get something out of the area, we weed (i.e. only remove weeds). In my subjective opinion, the equal-area bars are about the same as a mowed lawn. Another thing is that we can also get something from it, but not from the land (market), but from other people :)
I think the variable lags between ticks contain information, i.e. I'm only talking about that which we ourselves remove by an equitic transformation.
If one chooses what to predict, I choose precisely the "continuous worldwide quoting process", and the DC will ultimately get nowhere from it.