Thoughts on the random - page 25
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Anyway, here are the results from the minutes from mid-2009 to early 2012.
Similar to the result on the 5 minutes, but indeed the returns have become less pronounced.
What do you think, colleagues?
Sounds like the result on the 5 minutes, but indeed the returns have become less pronounced.
What do you think, colleagues?
Hm, you could do a difference of blue lines M1 and M5 to estimate the effect of discreteness
Observe.
Took the same period for M1 and M5 (05.2009 - 03.2012). Ran the script. First comes the results for M1, then for M5, then comparison of blue charts.
For the period taken the results are identical. So the market alone is the reason for the declining returns over the last 3 years. The discretisation level of 1-5 minutes gives the same results.
You promised to run it on ticks for aesthetes :) Excel doesn't hold more than a million - so it's for the best, you can do several series, consecutive in time, and see how it changes. Basically, the range up to about 20 points is interesting.
I think ticks will show a similar result.
I'll take the 5 minute bars and do 3 samples by year. Indeed, I'll see in time changes.
Take a look.
Well, quite similar curves up to a certain upper limit of the candle size. However, it should be noted that there is no dip to 0.44 on this period, which confirms what Avals said above.
THERE ARE NO FISH HERE!!!
...which confirms what Avals said above.
I admit: Avals was right, a visionary.
The market is losing patterns, I have noticed several times that since 2008-2009 the market has changed. Then why even look for something universal?