Econometrics: one step ahead forecast - page 11

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Tantrik: I'll read the articles at the weekend (no time to mow right now:))
Take it easy. I've already realised that you're a fundamentalist. You won't read the mathematical calculations.
 
gpwr: I love reading threads like this. It's like watching UFO movies for me. I don't believe in UFOs myself, but the subject is terribly interesting. I guess I have a thing for adult fairy tales.

Show up here more often, honourable one. It's so nice to see an intelligent sceptic.

And the wiser the formulas in the box, the more faith in their results (like Yusuf - he is my idol).

Oh, you read my mind... Sorry about the familiarity.

 
What other models are used in econometrics?
 
faa1947: Look at the model (formula) at the beginning of the thread. There is the HP indicator and the difference (error) between the indicator and the quotient. Then there is the process of estimating the coefficients of the equation by OLS, i.e. so that the error (non-conformity between the quotient and the model) is the smallest.

My dear colleague, do you still remember that MNC is just a special case of MMP (Maximum Likelihood Method) for a normal distribution?

Why do you think that it is necessary to estimate the deviation by the sum of squares of deviations? Have you ever wondered why it's the sum of squares of errors rather than, say, the sum of error moduli?

Hell, why the fuck did the leading matstatisticians around the world, realising that the world does not follow a normal distribution (thick tails though!), focus on non-parametric estimation methods?

 
faa1947:

A quotient is a random variable, but mathematical statistics is applicable to it if there is no deterministic component in the quotient.


San Sanych ... :)
 
faa1947:
Pure random wandering (no demolition or leverage) is not predicted - I haven't heard, if you can, a link.

Is leverage a leverage, or am I confused again? If not, I would like more details about clean and random, but without leverage...
 
tara: Is leverage a leverage, or am I confused again? If not, I would like to know more about clean and random, but without leverage ...

Already dealt with here. My colleague confused martin[gale] with martingale, it happens...

 
Mathemat:

We already figured it out here. My colleague accidentally confused martin[gale] with martingale, it happens...


We've sorted it out...

The trading system generates equity. If equity does not suit us, it is not clear what to look for in a trading system that has generated equity.

Whatever...

 
tara:


So you've got it figured out...

The trading system generates equity. If equity does not suit us, it is not clear what to look for in a trading system that has generated equity.

Whatever...

Equity is, of course, a necessary-beneficial-right... However, we should not limit our analysis to equity only because it would mean that we had reached the halfway point and stopped...

The end result is derived means -- cash. This is how TS should be constructed. In this case, equity is seen as an important element of the system, but it is by no means the only important element. --this is my opinion.

 

tara: Разобрались, так разобрались ...

(faa1947:) The trading system generates equity. If equity does not suit us, it is not clear what to look for in a trading system that has generated equity.

So what ...

Well actually not well at all. That's some weird phrasing.

faa, please comment on what you don't like so much about equity compared to balance.

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