From theory to practice - page 836
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Not in the literal sense, H-volatility is not actually designed for trading in the final outcome, which lies on the surface, for the analysis, the separation of processes.
Perhaps. I would find this theory more useful if H-volatility was calculated: a) for a Wiener process on a large but finite time horizon and b) for a Wiener process with a drift (trend)
Can you make a clarification?
What do you mean by clarify? A continuous function takes all values from minimum to maximum on the segment, while the real price only takes multiples of its minimum step (pips).
Well, any function can be quantised and still be considered continuous. In reality, any function can be considered discrete, because there are no absolutely precise methods of measurement, and all values will have to be rounded off, so there is no way to get all of them.
It does not work.
Continuity is an important abstraction, without which modern physics, for example, is impossible.
Discreteness of prices is an essential and inherent property of prices, not a consequence of problems with their measurement.
And rightly so. I remember your motto - work against the crowd.
Actually it is more correct and specific - with the current Trend in mind!
Continuity is an important abstraction, without which modern physics, for example, is impossible.
Discontinuity is an essential and inherent property of prices, not a consequence of problems with their measurement.
Actually it's more correct and specific - given the current Trend!
That was a joke. I'm always with the people :)
It was a joke. I'm always with the people).
Then of course (we all come from the people...)
Make discreteness a constant.
The problem with real prices is that it is NOT a constant and as the time horizon grows (as in the definition of H-volatility) it can tend towards infinity. Or it can tend to unity the probability that there are as many gaps larger than any given size. This seems to me to correlate in some ways with Taleb's theory.
New, believe me, almost everyone ends up trading martinis in a drawdown.
In a detailed study of the volumes on the CME and the price movement, the conclusion is unequivocal - the market is a martin from traders' orders in the counter-trend.
the stock market is a grid of orders)