FR H-Volatility - page 34
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Oh! That's where the discussion has moved to. Greetings, everyone!
I see there's been an invasion of mathletes. :)
Oh! That's where the discussion has moved to. Greetings, everyone!
I see there's been an invasion of mathletes. :)
Gentlemen, I assure you, you don't really need m0mathematics or mAmathematics here. You're having a great time, and you're doing a great job of figuring things out. The level of participants in the discussion, over the past year, has grown immensely. Respect!
The level of competitors, during the last year, has grown enormously. Respect!
I second that. There is such an observation.
I have said before here on the forum that, in my opinion, a qualitative change in the composition of participants has started (not only in the forum, but also in autotrading itself), but mainly not due to an increase in the quality of knowledge of previous participants, but due to an increase in the number of participants, including those with good training in mathematics and programming.
In other words, MT is reaching a new quantitative and qualitative level, in particular thanks to the Championship 2007.
Gentlemen, I assure you, you don't need any maths or maths here in general. You're already having a great time and you're good at everything yourself. The level of disscussion participants, over the past year, has grown immensely. Respect!
Hi NorthernWind ! Good to see you at our indefinitely shaped round table.
Unfortunately, the professionals left this thread all too quickly. One of my 3 questions, which I thought was the easiest, went unanswered. Alas.
And how are you getting on? Still playing the game? If so, in what capacity?
Can I repeat the question, it seems to be lost in the depths of the forum, I couldn't find it. Suddenly it is very important and its solution will help to dodge enemy's bullets :-)
Regarding the max deviation: in general it is non-trivial. So what are our assumptions, are the indicator values at different moments independent? or are they sums of independent values? or neither? In the general case there is no single algorithm, we must look specifically.
The values definitely cannot be considered independent. The dependence between them must be assumed to be as strong as between the price values. I don't think I can say much more about this. However, as a first approximation, it is important for me to understand how the SP distribution can be used to solve this problem. At least under the assumption of independence of the values.
One variant of this problem can be formulated for a price series, namely - a tick series. It is the equibrium variant of bar plotting. But I am interested not in the bar plotting but in the price change per N ticks, i.e. in this case it is the sum of increments. Can we calculate the distribution of this sum if there is a distribution for ticks ? How can the distribution of this sum be used to calculate the MO of its maximum ? If, of course, it is possible.
This was the penultimate post on the subject. And here's the last one:
1) At least make the increments independent and equally distributed, otherwise I don't understand why there is only one distribution function (as we discussed before for process in general case it is necessary to specify a complex construct to set it completely).
And ticks behave even more accurately as a BM than just price, so root. Generally in the case of zero MO and independent increments all the time the growth will be of the order of the root.
OK, let them be independent and equally distributed, let it be Brownian motion. I want for ticks in the Brownian motion model to build bars of equal tick volume. The spread of ticks changes proportionally to the root of time. And how will the range of tick bars change, if each of them contains N ticks?
The MO of the process is 0. The MO of these equitic bars will also be 0. However, the maximum size of the bar, i.e. High-Low, is not 0 and should grow over time. How ? Furthermore, this size depends on N. How ? How to calculate it in this simple model ?
That's where kamal disappeared.
One variant of this problem can be formulated for a series of prices, namely the tick series. This is the same equivariant variant of bar plotting. But I am not interested in the construction of bars, but in the change of price for N ticks, i.e. in this case it is the sum of increments. Can the distribution of this sum be calculated, if there is a distribution for ticks ? How can the distribution of this sum be used to calculate the MO of its maximum ? If, of course, it is possible.
This was the penultimate post on the subject. And here's the last one:
1) At least make the increments independent and equally distributed, otherwise I don't understand why there is only one distribution function (as we discussed before for process in general case it is necessary to specify a complex construct to set it completely).
And ticks behave even more accurately as a BM than just price, so root. Generally in the case of zero MO and independent increments all the time the growth will be of the order of the root.
OK, let them be independent and equally distributed, let it be Brownian motion. I want to build equal tick volume bars for ticks in the Brownian motion model. The spread of ticks changes proportionally to the root of time. And how will the spread of tick bars change if each tick contains N ticks ?
The MO of the process is 0. The MO of these equitic bars will also be 0. However, the maximum size of the bar, i.e. High-Low, is not 0 and should grow over time. How ? Furthermore, this size depends on N. How ? How to calculate it in this simple model ?
Regarding the first better ask Mathemat, he seems to already have an answer.
Regarding the second one. A script or an indicator has to be made. By and large, it won't take much time, but someone will have to process the results. To lose interest in this matter (for a long time).
But it does give me some hope - if, say, I were to throw a graph over it... well, okay, I'll have to check it out...
And about the distribution of maxima, I think kamal gave you an idea, as far as I remember.
Gentlemen, I assure you, you don't need m0thematics or mAthematics here in general. You're already having a great time and you yourself have a great grasp of everything. The level of participants in the discussion, over the past year, has grown immensely. Respect!
Hi NorthernWind ! Good to see you at our indefinitely shaped round table.
Unfortunately, the professionals left this thread all too quickly. One of my 3 questions, which I thought was the easiest, went unanswered. Alas.
And how are you getting on? Still playing the game? If so, in what capacity?
Good to see you all, too. That's ok, the m0thematicians who came to you, they'll be back.
There have been successes, yes. That's all I can say, sorry.
The level of disskus participants, during the last year, has grown tremendously. Respect!
I second that. There is such an observation.
I have said before here on the forum that, in my opinion, a qualitative change in the composition of participants has started (not only in the forum, but also in autotrading itself), but mainly not due to improvement of quality of knowledge of previous participants, but due to expansion of participants, including those with good training in mathematics and programming.
In other words, MT is reaching a new quantitative and qualitative level, thanks in particular to the Championship 2007.
Speaking of Champ2007. I've been totally absent from forum life, has there been any discussion of the Betting Man so often mentioned here?