From theory to practice - page 116
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well, in the end it all comes down to fractals and self-similarity, which is where this non-markness manifests itself, right? or are there some other far-reaching conclusions there.
Here, for example, as applied to the market and relatively correctly described: http://forex-traderr.ru/knigi/336-a-almazov-fraktalnaya-teoriya-kak-pomenyat-vzglyad-na-rynki.html
There is also quantum analysis, but I haven't read much about it.
That is, in the trader's environment all these processes have been described and studied in one way or another, but poorly (or not at all) algorithmized :)
No, Maxim - they describe an integro-differential equation for price probability density there quite correctly, they describe some probability distribution for increments as a product of two functions. Well, basically, the theory is the same as mine, only with formulas.
But when it comes to practice, they throw in Fibonacci numbers and Elliott waves... I'm not smart enough to catch their flights of fancy :)))) But still - interesting.
No, Maxime - they are there for the probability density of the price, and they describe an integro-differential equation, describing some kind of probability distribution for the increments as the product of two functions. Well, basically, the theory is the same as mine, only with formulas.
But when it comes to practice, they throw in Fibonacci numbers and Elliott waves... I'm not smart enough to catch their flights of fancy :)))) But still - interesting.
I'll read to the end then, thanks :)
No, Maxime - they are there for the probability density of the price, and they describe an integro-differential equation, describing some kind of probability distribution for the increments as a product of two functions. Well, basically, the theory is the same as mine, only with formulas.
But when it comes to practice, they throw in Fibonacci numbers and Elliott waves... I'm not smart enough to catch their flights of fancy :)))) But still - interesting.
Hello Alexander! What prevents you from formulating your vision of the market as a complete or intermediate theory, as I tried to do with 3 theories, and show its potential on the whole history of an instrument. Waiting for a long time for the results of real trading is a waste of precious time and will be useless, because, even in the case of a positive result, they will refer to a piece of recent history. Without covering the whole of history, any experiment is doomed to be a surprise market shock. Formulate the 4th theory. This call applies to all participants.
Yusuf, good evening! Read the articles (see attached file) - everything I've told you about is explained there. I wish I had seen these articles earlier - there would have been less controversy in this thread. I just do not understand - how the authors moved from quantum physics to Elliott Waves and Fibonacci levels... If I catch this transition, I'll be sure to tell you. If this transition is the only conclusion from quantum theory, then one should use it.
And I agree with you about the long waiting result. It's the third day now that I have no deals... Tired of waiting...
No, I have actually the same education ashttps://ru.wikipedia.org/wiki/Шелепин,_Леонид_Александрович, but we were not taught some Fibonacci numbers in quantum physics... Where did he come up with such bizarre analogies in non-Markovian processes? And to ask him, alas, it is not possible... One has to use one's own wits...
I wish I had seen these articles earlier - there would have been less controversy in this thread....
A scientist husband of 50 years old, preferably a physicist, as the most advanced part of people, comes to China and sees a lot of new things for himself: both people communicate and write something - everything is absolutely unclear, what they are doing here these Chinese. But it is obvious that all this is not quantum physics and it is obvious that these same Chinese will finally start to understand their lives if they start to study quantum physics with smooth transition to Fibbonacci numbers. And this scientist husband begins to teach these very Chinese his quantum physics. And this clever man can't understand that all what Chinese children of three years old know in their Chinese culture, this clever man can't understand not only quantum physics but all own physics with guts, because it has nothing to do with Chinese culture.
PS.
All this physical rubbish stated in articles is studied, described, there are software packages (ARFIMA) and there is experience in applying them as processes with long memory. The advantages and disadvantages, applications ... all in all.
PSPC.
In two months on this forum you may have read at least a little bit to decide on your place in trading. Anyway, the method of window sizing deserves attention. But that grain is drowned in ....
A scientist husband of 50 years old, preferably a physicist, as the most advanced part of people, comes to China and sees a lot of new things for himself: both people communicate and write something - everything is absolutely unclear, what they are doing here these Chinese. But it is obvious that all this is not quantum physics and it is obvious that these same Chinese will finally start to understand their lives if they start to study quantum physics with smooth transition to Fibbonacci numbers. And this scientist husband begins to teach these very Chinese his quantum physics. And this clever man can't understand that all what Chinese children of three years old know in their Chinese culture, this clever man can't understand not only quantum physics but all own physics with guts, because it has nothing to do with Chinese culture.
PS.
All this physical rubbish stated in articles is studied, described, there are software packages (ARFIMA) and there is experience in applying them as processes with long memory. The advantages and disadvantages, applications ... all in all.
PSPC.
In two months on this forum you may have read at least a little bit to decide on your place in trading. Anyway, the method of window sizing deserves attention. But that grain is drowned in ....
No, I have actually the same education ashttps://ru.wikipedia.org/wiki/Шелепин,_Леонид_Александрович, but we were not taught some Fibonacci numbers in quantum physics... Where did he come up with such bizarre analogies in non-Markovian processes? And to ask him, alas, it is not possible... You have to use your own wits...
In the end it all comes down to fractals and Elliott waves at the end of the story :D as expected. Well it is clear that in the presence of such waves the densities of distributions will not fit the normal and Markovian ones
the man said Agu... that's all I can say (in my article)
well, as SanSanych noticed there is nothing more sophisticated than the already existing econometric models
All right, all right, SanSanych! I thought there were only young people here - why not teach? However - I will continue reading Shelepin.
Age matters ONLY in face-to-face interactions, otherwise age is irrelevant - ONLY the essence.
Everything you are trying to lay out here in a naive way has already been developed, used and there is a generalisation of practice. And it is all extremely well developed.
1. Your accounting for probability density - today it's a chip called Realized GARCH
2. Your consideration of the type of distribution - the t-distribution - there is evidence that among a number of skewed distributions, the t-distribution is the most suitable
3. Your interest in modelling long memory is a necessary part of the model. And there is evidence that it makes sense to bother with it if the Hurst index differs from 0.5 by at least 10%: less than 0.45 - sideways, more than 0.55 - trend model.
There are problems with the size of the window, but with them purely technical difficulties: your 12000 observations - purely technically difficult to maintain dynamically.
Take it, read.... Without regard to physics and age.
Gentlemen. I also want to get on your nerves with physics.
Here are well-known models that predict time series
But long time ago, I found either a book or article, where time series were predicted just specifically using mathematical apparatus like quantum mechanics - self-coupled operators, evolution equations and all (didn't read it, it seemed to me, at first glance, kind of absurd application of this apparatus). Now (in accordance with the reasoning of this post), I have searched for a long time in my computer for this information and have not found it. I went to the Internet and found a book by Dukas, which was kind of close to the subject, but it was nothing like that - the apparatus was naive, like a schoolboy, more philosophy. Maybe someone knows something about this cool quantum technique (which uses a solid machine) and his book is not far away.