What makes an unsteady graph unsteady or why oil is oil? - page 29
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Да первый момент и так константа и равен нулю.Дисперсия не должна зависеть от времени,и забей на "толстые хвосты".
What is this method, I can't find out. It seems to be "statistically unreasonable" () :o) Many methods are based on splitting a series into a bunch of segments and investigating the behaviour of the parameters of the segment distributions relative to each other. Roughly speaking, they simply investigate whether there is a trend (by other criteria) between a number of parameters. And the point is that these segments should be a lot, it's just impossible to understand if there is a trend between two samples or not.
By the way, I'm sure that if you take a generated stationary random series, you can get its non-stationarity under some circumstances.
I'm sure I made the calculations correctly, colleague. Instead of a bunch of segments, I chose two. The number of bars in both segments is about 22 thousand, the data is from October 2006. Of course I can go deeper into the history, but I don't have such a long history. The result is not entirely unexpected. The first moment of the price difference goes around zero, which indicates that there is no trend. The second momentum rises from 1 to 3.4 as we move from the first segment to the end of the second segment. It is also clear. The first segment includes prices for 2006-2008 and the second segment includes prices for 2008-2010. Market volatility has increased significantly during that time. To assume that the second moment of price difference is constant in time is to assume that there are no periods of economic calm (growth) and crises, which we are going through now. This is on larger timeframes. On shorter timeframes, volatility (or variance) is also not constant due to news that causes spikes and gaps in prices at certain hours of the day and days of the week. So I can understand why there is no stationarity in the market even without mathematics, even if you take the first price difference. Although, I am willing to change my mind if someone presents their calculations indicating that the price difference is stationary at least in the broad sense.
By the way, I am not claiming that there are no short periods of stationarity in prices. For example EURGBP behaves quite calm in the European night time, without significant trends and volatility bursts due to the lack of news concerning both currencies at that time. This pair is a heaven for pip traders. Just ask YuraZ :-)
Because the ratio of currencies(and not only them) will never go into negative territory.What does the absolute price scale have to do with it? Add/drop to/from 1.18 even a billion - the first momentum of SB will be zero.Your expected profit is 11800 pips? - That's great! I'm just saying, it's time for you to chop some cabbage.
What does the average price have to do with the profit margin? I don't see buy-and-hold as a strategy.
Are you looking at price as a SB or geometric SB?
Как связано среднее значение цены с величиной прибыли?
Вы рассматриваете цену как СБ или геометрическое СБ?
1) I feel like I'm talking to the wall - no, of course not. So, you still have the first moment not zero?
2)Like SB.
1) I feel like I'm telling the wall - no, of course not. So, is your first moment still not equal to zero?
2)Like SB.
Still not equal.
По прежнему не равен.
For those still in the tank - the M.O. of random walk(s) is zero.
Random walk and geometric random walk are different things. I highly doubt the price can be less than zero. So you can deduce which of us is "in the tank".
p.s. For random rambling, of course you're right.
Для тех кто по прежнему в танке - М.О. случайного блуждания(цены) равно нулю.
Случайное блуждание и геометрическое случайное блуждание - разные вещи. Я сильно сомневаюсь, что цена может быть меньше нуля. Делайте выводы кто из нас "в танке".
p.s. Для случайного блуждания, естественно, вы правы.
Я сильно сомневаюсь, что цена может быть меньше нуля. Делайте выводы кто из нас "в танке".
p.s. Для случайного блуждания, естественно, вы правы.
Because the ratio of currencies (and not only them) will never go into negative territory.What does the absolute price scale have to do with it? Add/drop to/from 1.18 even a billion - the first moment SB will be zero.Your expected profit is 11800 pips? - Great! That's what I'm saying - "it's time for you to chop."