Market phenomena - page 71
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No desire to write code to approximate the Gaussian (or rather look for it, it was somewhere), so I just drew a Gaussian, with a mean of zero and sigma 3, here on the same graph it is superimposed in blue.
Well... almost a Gaussian :-) so. there is some difference in shape. a small one. The tails are heavier. But that's not surprising. What is surprising is the phenomenon in the centre that occurs as you look at the decreasing pitch of the histogram.
It is this "almost" that kills it all. :)
And there is no phenomenon at the centre. If you accept that the processes of "tic-formation" are completely different from those of "gau-formation".
Once again: approximate with Laplace rather than normal. The perplexity will disappear, and with it the "phenomenon" itself: both the tails will fit (and they are the most important thing) and the vicinity of zero.
And the small step of the histogram is hardly justified. Although, yes, such discreteness is present in some instruments.
Colleagues, not the point. The question is not what is slightly non-Gaussian. The question is what kind of weirdness arises in the centre, if you plot a histogram of the price logarithm increments, with a small histogram step.
The overhangs are periods of high asset correlation and the heavy tails are negative correlation. We are dealing with a ratio of asset prices, after all.
There are two assets: A and B. We work with A/B. If the increments of assets A and B have a high positive correlation, then the increments of A/B will have a small variance (volatility) and concentrate near zero. That's what provides spiking, because most of the time the correlation between the assets is high. But there are times when the correlation not only falls, but becomes negative. The dispersion/volatility rises sharply. Roughly speaking, the distribution of increments is a sum of two distributions - one for periods of high asset correlation and one for negative asset correlation
The overhangs are periods of high asset correlation and the heavy tails are negative. We are, after all, dealing with asset price correlations.
Not periods of low volatility?
Yes. I am talking about the causes of low volatility. Basically, a move is a rationing of assets. While EUR and GBP for example are highly correlated, EURGBP will be low volatile and flat. In other words, the assets are highly correlated most of the time, and occasionally vice versa. A kind of bifurcation - a positive correlation phase and a negative correlation phase, and technical manifestations of low and high volatility.
The overhangs are periods of high asset correlation and the heavy tails are negative. We are dealing with a ratio of asset prices, after all.
There are two assets: A and B. We work with A/B. If the increments of assets A and B have a high positive correlation, then the increments of A/B will have a small variance (volatility) and concentrate near zero. That's what provides spiking, because most of the time the correlation between the assets is high. But there are times when the correlation not only drops, but also becomes negative. The dispersion/volatility rises sharply. That is, roughly speaking, the distribution of increments is the sum of two distributions - one for periods of high asset correlation and one for negative asset correlation
Found a phenomenon! One of the forex market phenomena is Svinozavr! ))
So I'm not hiding - I've already posted: "Svinozavr is a phenomenon unexplained, and maybe! even!, unexplained!" // ABS
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I swear to the MC, I don't understand the point of this (as occupied here) approach. Catastrophe theory is clearly closer.