Forget random quotes - page 10
You are missing trading opportunities:
- Free trading apps
- Over 8,000 signals for copying
- Economic news for exploring financial markets
Registration
Log in
You agree to website policy and terms of use
If you do not have an account, please register
Yeah, right.
Dudes think they know the depths of the futures market...only to wonder why it went the wrong way...
Man, come on, what you are doing is nothing but perverted tehanalysis. Stop shaming the analysis, there is so much more to it than just the standard terminal indices.
To what you have written, Alexei, I would like to add the objective as a justification for using prices.
When using any econometric package the first problem is the following: take quotes from the source as a sequence of prices, or label those prices with time stamps? If not tagged, it is easier. Monday immediately follows Saturday and the daily price starts at 00:01 minutes. If you go with time, then all these nuances will have to be sorted out, and who will pay for this extra effort, which by the way is not easy? And the rationale is in the model used: if the model is of TA type, time stamps are not needed, but if we want to take into account our information about asset price cyclicities, for example sales of c/o products? After all, this is important enough information to ignore. In this case, the model explicitly includes time as a variable.
Maybe HideYourRichess has never built models with cyclicality or other direct use of time as a function argument? This is not surprising for TA.
There you go again with your reasoning... It was the same in the feature selection thread, only there you had to justify the applicability of TI to the market.
Well, justification, or at least understanding, is important.
"Price = time series" simply because it's convenient has been around for at least 500 years. No mathematician or practitioner gets into this medieval philosophical nonsense and tries to claim that in a process described by an explicit function of time f(t), time is the prime cause.
Exactly my point: it is more convenient to look for the lost keys under the lantern, rather than where they were dropped. About mathematicians and practitioners (really successful, in my opinion), I have the opportunity to observe both .
You can go so far as to say that in the motion of a stone thrown upwards, time is the prime cause. But it is not true: Newton's laws do not explicitly contain time, they are the relations of cause and effect. However, from these laws many divergences are derived in which the independent variable is time. This is convenient - full stop.
No objection to the argument that Newton's laws are irrelevant to the market?
Enough with the sophistry, which is of no use at all. There's no need to confuse root cause and dumb independent variable.
The prime mover - what is it?
Martingale or non-martingale is simply a way of looking at it or a matter of faith. There are several schools of thought that view price in different ways. The first is fundamentalist, they look at formative processes and believe they know the causes. They often don't even know what a martingale is, as they don't need it and it is even harmful.
And time, time as viewed by fundamentalists?
The second are chartists (thechanists) who abstract away from these alleged causes and bluntly look at the price as a function of time (or bar number, for example) and try to predict it. It's convenient for them, that's all. They don't care at all whether time is the root cause of price movement or not - just like fundamentalists, by the way.
That's a fallacy. I mean, such as you describe, but really wise traders using charts look at the root cause first of all. And for them the time is just an auxiliary thing.
There are other schools, but let's not talk about them.
Ok.
By definition. A time series is a time-ordered sequence of observations.
anonymous:
In terms of many liquidity provision models - price is indeed a martingale relative to some information sets (e.g. the flow of trades in the relevant instrument). At the same time, that there are inefficiencies in markets that can be exploited. And this means that there are information sets, relative to which the price may not be a martingale.
Below I give an example of how one of the quoting models works. These prices are martingale in relation to absolutely all previous prices and flow of deals that were performed. The deals flow is generated randomly. I.e. it is impossible to take money away from such a quoting algorithm. At the same time, if several instruments are quoted simultaneously or if the flow of deals is not random - these processes will not be martingales. In this case relevant factors can be taken into account in the model, and again prices of all instruments will become martingales relative to the available information set.
We have all settled on time as a variable because it is very convenient, however no one has assessed the significance of this choice due to the obviousness, there are more important variables, that's what it's about.
It is not known in advance which is more important. If we take my example above, we will predict the deterministic component and the cyclical component and the weight of each of them may be earlier at different moments. One thing that is clear to me is that there are assets where cyclicality can be neglected (i.e. time in my example), but there are other assets where it is not desirable.
By the way, I was just thinking EURUSD M1, M5, ..... - Are likely to have different cyclicality from zero to some values, eh?
Let's then do this trick to get rid of the "time" variable. I think the price should depend primarily on itself, as paradoxical as it may seem at first. The first thing that comes to mind is to try and put the integral price along the abscissa axis, i.e. the sum of all prices at the arrival of a given tick. And how to deal with bars? Very simply: a certain volume of the price is taken as 1 bar in the corresponding time frame. We need to decide from which price level to start integrating it?
OK, let me put it another way, what is the root cause of price movements? Where do you have it in your formulas?