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HideYourRichess:
Meaning hedgers on the sp500.Hedgers on the SP500:
interesting. Only again is the reason for non-zero mutual information in the dependence between increments or only their modulus (volatility)? With conditional heteroskedasticity the mutual information is zero?
By abandoning the efficient market hypothesis, we find ourselves in the arms of a market with memory. We would like to point out the following nuance.
Box and Jenkins considered that non-stationarity of the market can be removed by taking the difference, i.e. we have series I(0), I(1), etc., where in brackets there are integers. But there is a fairly strong view that the assumption of taking the integer times is too strong an assumption. For the ryker, which we refer to the time series with long memory, fractional-integer series are characteristic. And there is a direct relation between fractional integrability and Hurst index.
After this, we forget about efficient market and get completely into the position of fractality where the idea of dependence between observations is taken to extraordinary heights.
Hedgers on the SP500:
An efficient market allows you to buy at the best price at the moment or sell at the best price at the lowest cost. EVERYTHING.
What theories, what hypotheses? Where do you get it all from?
An efficient market allows you to buy at the best price at the moment or sell at the best price at the lowest cost. EVERYTHING.
It is a consequence of those very theories, hypotheses, etc., if they are correct.
Yeah, and Pavlov's dog reflexes are a consequence of Pavlov's work on dog reflexes.
An efficient market allows you to buy at the best price at the moment or sell at the best price at the lowest cost. EVERYTHING.
What theories, what hypotheses? Where do you get it all from?
It is a liquid market - buy or sell the right volume with minimal losses on slippage (deviation from the current best price).
Liquidity is no more than one of the characteristics of an asset in a given market
Yeah, and Pavlov's dog reflexes are a consequence of Pavlov's work on dog reflexes.
Don't make such an active show of stupidity.
It follows from the efficient market hypothesis that it is possible to buy at a better price. Just as a dog's reflexes follow from the presence of its central and peripheral nervous system and the patterns of their work, which Pavlov studied.
Hedgers on the SP500: