Statistics as a way of looking into the future! - page 15
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I've already answered that before.
There you go. You don't understand the issue deeply enough either. It's just that all these models "sort of" work, because they take into account the fact that volatility does not fit within a standard normal distribution. About portfolio returns - that's not relevant at all. The volatility forecast has nothing to do with portfolio returns and their distribution. Another thing is that the volatility forecast is mainly used to assess the risk of the portfolio, but that's another story. - Once again, the above methods were originally designed for portfolio volatility forecasting. Check it out. And only afterwards, this method was picked up for price forecasting. Of course, who needs books and works to predict just the volatility of a portfolio. But to predict the price - they will buy it! And the fact that the method is useless, if you don't write about it nobody will ask about it, except Vita of course.
... And predict the weather?
Eh. That's a nice way of putting it.
But it's a shame about the "weather" that it's "haphazard".
Is there anything "haphazard" in this "underworld"?
Down with all the theories - give me... the one. :)
Key point in the controversy:
'
Because I'm well acquainted with systems theory and totally unfamiliar
'
Maybe I should also apply 'root yearographs' (MAI and our 'verticals' are the roughest :):):):) ) to price guessing :)
In general the disputes about the fact that one should not rush to apply in Forex what he studied in the institute (with what he does in his "scientific" work), do not flare up for the first time. :( (Although in the past they used to brag about the possession of cars and now about knowledge of theories - progress is evident).
ZS. I didn't know about Kolmogorov(any) - I'll look it up.
ZSY. Actually, I have a rhetorical question: are all theorems "provable" and all "problems" solvable?
Even if there is an "xforex formula", it's virtually unrealistic to find. So maybe get busy recognising "patterns". And at the time of requoting - we can have a drink with Kolmogorov. :)
For fuck's sake! How else can you ask that? I've already said that the market is a system. Imagine that the prices of all instruments traded on the market are the parameters of this system. And they all evolve according to some unknown law. Now do you see what the price has to do with the systems theory?
Because I am well versed in systems theory and totally unfamiliar with Mendel's laws. Where do you think I will succeed more: in applying systems theory or in applying Mendel's laws (all other things being equal)?
Well, I will say it again for the third time. The theory of systems applies to the market because the market is a system whose parameters (prices) evolve according to a certain law. That doesn't mean that it gives you the answer to all questions, but if there is a coherent theory that fits the system in question, why not use it? Or is it better to re-invent bicycles, point fingers in the sky and predict the weather?
A slender theory allows only deterministic systems for input. Is the market a deterministic system?
Vita писал(а) >>
Once again, the above methods were originally designed to predict portfolio volatility.
I disagree, because the ARCH model (its author was given Nobel, if I'm not mistaken) and derived models were built based on a specific feature of price volatility - its clustering. It has no direct relation to portfolios.
I'm getting a bit tired, because the picture we have here now is this:
Blind:
- well I don't believe the earth revolves around the sun!
Astronomer:
- Well, here's Newton's dynamics, here's the masses of bodies, here's the calculation of trajectories - it all fits together!
- well what makes you think that the earth obeys the dynamics of newton?
- Well, the earth is a body, it has mass, it's affected by other bodies, etc...
- No, what makes you think that Newton's dynamics apply specifically to the earth?
- Oh, for fuck's sake...
Well everyone has a point of view. That's the way it should be. I have nothing against it.
Yeah, we're in the thankless business of predicting price, price movement, price direction... You don't like it, understandably. But you still haven't answered the question, what are you predicting? I am personally very interested.
Stringent theory allows only deterministic systems to enter. Is the market a deterministic system?
Who told you such nonsense? Why then does this stochastic theory use stochastic diphires? What about chaotic systems? Do you realise the difference between a chaotic and a dynamic system?
Well, I disagree, because the ARCH model (its author was given Nobel, if I'm not mistaken) and its derivatives were built based on a specific feature of price volatility - its clustering. It has no direct relevance to portfolios.
I'm getting a bit tired, because the picture we have here now is this:
Blind:
- I don't believe the earth goes round the sun!
Astronomer:
- Well, here's Newton's dynamics, here's the masses of bodies, here's the calculation of trajectories - it all adds up! - Bravo! Trajectory calculation, please! Because I can see that it doesn't add up.
- What makes you think the earth obeys Newtonian dynamics?
- Well, the earth is a body, it has mass, it's affected by other bodies, etc.
- No, what makes you think that Newton's dynamics apply specifically to the earth?
- Oh, come on...
Well, everyone has a point. That's the way it should be. Nothing against it.
Yeah, we're in the thankless business of predicting price, price movement, price direction... You don't like it, understandably. But you still haven't answered the question, what are you predicting? I'm personally very interested.
Who told you such nonsense? Why, then, are stochastic diphurs used in this stunted theory? What about chaotic systems? Do you realise the difference between a chaotic and a dynamic system?
It's not stupidity, it's a definition. Chaos theory, as a variation of dynamical systems theory, also investigates dynamical systems and they must also be deterministic. Nobody's wishful thinking overrides this condition.
Please point out the definition of a dynamical system within dynamical systems theory where the condition of determinism of the system is optional or not part of the definition.
But it's a shame about the "weather" - that it's "haphazard".
Well, it wasn't about the weather being haphazard, it was about the weather forecast being unlikely to be used effectively for forex trading.
Is there anything haphazard in this "underworld"?
Of course there is. For example, a spherical horse in a vacuum. Its parameters do not change, i.e. do not evolve. Hence it does not fall under the definition of a system.
Down with all theories - give... the one. :)
That's the key point of the argument:
Well, that's not true. Everyone dances as he knows how. I've already talked about this when discussing Mendel.
Maybe I should also apply the "root yearographs" (MAI and our "verticals" are the best :):):):) ) to price guessing :)
Don't waste your time. Linear systems theory is powerless in terms of solving our problems. Linearisation of market processes will only be adequate, if at all, on very small intervals (sub-teak probably), but on these intervals the changes in the values of the system parameters will be much smaller than the observed noise on the same parameters.
In general the disputes about the fact that one should not rush to apply in Forex what he studied in the institute (with what he does in his "scientific" work), do not flare up for the first time. :( (Although in the past they used to brag about owning cars and now about knowing theories - progress is evident).
There was no such a thing here :).
>> Actually, I have a rhetorical question: are all theorems "provable" and all "problems" solvable?
This is a question for the mathematicians. I'm just using what has already been shown and solved :)
Vita писал(а) >>
Bravo! Trajectory calculation in the studio, please! For I can see that it does NOT add up.
Check it out:)
This is not nonsense, it is a definition. Chaos theory, as a form of dynamical systems theory, also investigates dynamical systems and they must also be deterministic. Nobody's wishful thinking overrides this condition.
Please point out the definition of a dynamical system within dynamical systems theory, where the condition of determinism of the system is optional or not part of the definition.
Just the difference between a chaotic system and a dynamic system is that it is not ordered, i.e. it is not deterministic.
P.S. Enough demagogy. Please answer my question: "What are you predicting?" and how.