Market phenomena - page 9
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However, there are statistical criteria that allow us to establish the fact of an arbitrary relationship between random variables. For example, the chi-square criterion - or the criterion of mutual information. I haven't really got to grips with the second one, but I did get to grips with the first. I will not explain how to use it: there are plenty of tutorials on the Internet, which explain how to use it.
Another phenomenon is long-term memory.
........3. this result is still purely theoretical and still has no practical significance. Nevertheless, it clearly shows that all is not lost on those who are looking for something.
How it is not lost? Very much so. The phenomenon of long-term memory fits perfectly into my theory of Overflowing Patterns. :)
Thanks to you personally Alexey for the good news, and thanks to the topicstarter for the thread.
.... Just the fact so far. How to apply it to trading - I don't know.
I need to find out at what distances between bars this memory is most clearly observed, and with this information we can effectively build TS based on NS.
If I've noticed my last "binge" - determining the colour of the next candle at H1, the only thing left is to enter at the opening of the current one and exit at the opening of the next one. I checked, with deduction of spread 3p 4zn on eu returns stably above 0 just starting from H1.
How can it not? Very much so. The phenomenon of long-term memory fits perfectly with my theory of Overflow Patterns. :)
Yes, that's exactly what I'm trying to do. You need a measure of that memory. I guess that's what reciprocal information is. Checking.
Anonymous, would you mind dropping this file to me at gmail.com?
I used to hang out at Spider's, but I've forgotten the password and the email address at the time. Can't get the password back...
Nevertheless, it clearly shows that for those who are looking for something, all is not lost.
Ы.. Let's keep looking...
I used to hang out at Spider's, but I've forgotten the password and the email address of the time. I can't get my password back...
Not satisfied, I decided to check whether my chi-square would show such dependencies if I input synthetic returns generated independently. I chose two possible distributions of synthetic returns - normal and Laplace - and ran them. Yes, it shows, but within the significance level of the criterion (I had 0.01)! In other words, the synthetic showed about 1% dependent bars in the past - just at the level of probability of criterion error.
What are the conclusions?
1. Euro quotes are definitely not a Markov process. In a Markov process the current value depends only on the previous value. In our case we have numerous bars in the very distant past, on which the current bar depends.
2. The so-called "foundation" certainly plays a certain role - let's say, as an excuse to move the quotes. But it is certainly not the only one. We need to look at the technique!
3. This result is still purely theoretical and has no practical importance. Nevertheless, it clearly shows, that not all is lost for those who look for something.
another phenomenon for the pile)))
The average volatility of candlesticks (High-Low) depending on the level of the figure. The levels are from 0 to 100 (the last 2 digits are for the 4-digit quotes)
The pattern for almost all instruments:
i.e. the ox is maximal near the round levels 0(100) and 50. Although the difference is not that big - just a few points between the peaks and troughs. There is no such thing on synthetics. There is also a more shallow cyclicality of the ox - there are peaks every 10 points (10,20,30,...,90,100).
What does it mean? Apparently, it only means that most pending orders are placed at round levels - people are too lazy to count accuracy to the pip)))). Also vola increases when breaking through extrema - probably for the same reason