Market phenomena - page 43
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Well, here's a follow-up... well, while we're at it:
Check out the Fat Tails on the tick distribution and the 'abnormal' dip in the small increments of the hourly returns.
Well, here's a follow-up... Well, while we're at it:
Can I share my observation?
For X the level in ppts from 1 to 100 (1pp=0.0001), for Y the sum of C+H+L at that level in percentage terms. For example, the price is 1.27816, on X it corresponds to 82.
Euro m1, although on larger frames the same pattern. Statistics on 250,000 bars (since 2008)
Well, here's a follow-up... well, while we're at it:
Check out the Fat Tails on the tick distribution and the "abnormal" dip in the small increments of the hourly returns.
I understand correctly, on the tick chart, the distribution is also abnormal! This is surprising, because it always seemed to me that the reason for the abnormality is the clustering of volatility over time, i.e. the same equivolume charts should be more or less normal, no?
I understand correctly, on the tick chart, the distribution is also abnormal?! This is surprising, because it always seemed to me that the reason for the abnormality is the clustering of volatility over time, i.e. the same equi volume charts should be more or less normal, no?
Before the introduction of the 5th digit this was the case.
I understand correctly, on the tick chart, the distribution is also abnormal?! This is surprising, because it always seemed to me that the reason for the abnormality is the clustering of volatility over time, i.e. the same equivolume charts should be more or less normal, no?
Yes, you understand correctly! The distribution is significantly non-normal and tends to be normal with increasing TF. At hours we can already speak about normal distribution of increments. Further this condition is fulfilled with greater accuracy. The most abnormal are ticks and the effect has nothing to do with 4 or 5 signs. The figure above shows the 5-sign tick distribution. Moreover, the entire abnormality of distributions on small TFs owes its existence to the generating tick series. Further on it all is gradually normalized with the TF growth.
And the reason of abnormality of ticks, I think, is in the devilish nature of the quoting process itself... We will never understand it.
And may I share my observation?
X level in pps from 1 to 100...
Level as a percentage of what?
Level as a percentage of what?
And it would be good to hear from the author an estimate (description) of the effect demonstrated. And what are we supposed to see in the figure above?
At the clock, you can already speak of a normal distribution of increments.
Is it C-O or H-L that counts as increments? I just counted H-L and got the following
Is C-O or H-L the increment? I just counted H-L and got the following
The maximum on the chart corresponds to 100%, the other values are calculated from it.
The point is that on a Chart (100 points) closing, maximum or minimum is the rarest, then half a Chart (50 points), then other levels multiple of 10 points. Maybe you should set a stop at a level multiple of 10п (10,20,30,...) and limits at levels multiple of 5п.