Author's dialogue. Alexander Smirnov. - page 28
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I am working on an analysis system at the moment.
If it's not a big secret, please let me know from time to time what you are getting at. The intermediate and final results are also interesting.
Wow, you're good, Korey. A fake pseudo-mouse is supposed to work.
Something is missing . Sergey (Prival), can you copy here the letter I sent you with the formula? I have the formula at home. Let Korey have some more fun - what if he accidentally invents the grail...
to Mathemat
b.maybe a formula for SKYP?
to ALL
After reading this in the magazine from which "cup of coffee coaster" came in the B.Clinton era,
it made me feel like a bare-assed papoose,
and the more I remember trying to invent MTS, the more it blows and all...
http://offline.computerra.ru/2006/655/287993/" Digital traders overtake protein traders"
zitata: The mathematics of these models has been studied in depth. Mikhail Dubovikov, a specialist in econophysics, Ph.D. in physics and mathematics, and advisor to Intrust's president on science, says: "Any western company now usually starts with two things: it considers fractal parameters, such as Hurst exponent, for price series (hoping to anticipate changes in the market by their changes) and tries to apply Takens theorem - determine the number of parameters that control the price change process and, if you are lucky, build a system of equations that generates a price series. Then everyone goes their own way. We, for example, use our own fractal indicators in our trading system, as well as a number of well-known models (e.g. non-linear regression models), combined with optimal portfolio formation according to more advanced algorithms than the classical Markowitz theory".
and tries to apply Takens' theorem - to determine the number of parameters controlling the process of price change and, with any luck, to construct a system of equations that generates a price series.
and tries to apply Takens' theorem - to determine the number of parameters controlling the process of price change and, with any luck, to construct a system of equations generating a price series.
You have to understand the difference between Comrade Mikhail Dubovikov, a specialist in econophysics, and Comrade Alexander Smirnov, an indicator specialist.
to ALL.
It's not so gloomy yet.
Not everything is so gloomy. There are publications, it's just that we, as engineers,
"who have seen the market in an oscilloscope))) neglect what was done 60, 30, 20 years ago.
Here it is. From many dissertations that I had a chance to read the scientific work of S.S.Belyakov stands out for its sincerity.
http://orel3.rsl.ru/dissert/EBD_873_beliakovSS.pdf
There is also a list of available literature, Tuckens in particular.
Quote for this thread, well - "Pitchforks":)
..........
The disadvantage of the adaptive smoothing method is that only
very long series it is possible to get a reliable forecast for an interval
greater than the conventional exponential smoothing. Unfortunately,
there is no strict procedure for evaluation of necessary or sufficient
the necessary or sufficient length of the initial information and for finite series there are no
for finite series, there are no specific conditions for evaluation of prediction accuracy. Therefore there is a risk for finite series
risk to receive rather an approximate prognosis, moreover in most cases the series
cases in real practice one may encounter series with max 20- 30 points
30 points.
The problems with the Box-Jenkins method (autoregressive moving average models)
The problems with the Box-Jenkins method (autoregressive moving average models) are mainly related to the nonuniformity of the time series.
The problems with the Box-Jenkins method (autoregressive moving average models) are primarily related to the heterogeneity of time series and the practical implementation of the method due to its complexity.
and tries to apply Takens' theorem - to determine the number of parameters controlling the process of price change and, with any luck, to construct a system of equations generating a price series.
Here it is necessary to understand the difference between Mikhail Dubovikov, expert in economophysics, and Alexander Smirnov, indicator specialist.
By the way, authorship and administration of a branch at this honored site goes to the future reference for work.
I would have declared myself, but that's what my mother told me as a child - "learn mathematics!
Anyway, there's a need for an engineering debate about
what's the difference between the world's best helicopter and the market.
Colleagues, there is a simple little question for scientific people: is there a parameter that measures the smoothness of a time series as a whole? And I don't care if there is correlation between them or not, it is important to distinguish that one series as a whole is smoother than the other.