From theory to practice - page 1455
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I sent you a working version of the robot from 2014 six months ago.
Don't get confused, it was you who sent it to me. It's a mess, I remember it like it is now.
You do not understand that in our field the quantities are not independent. Treating them as independent is completely wrong!
SO
I cannot access this book.
If you have a chance, pin it here so you can read it.
This thread deals exactly with the model with independent increments - otherwise no approximation to their true distribution by sampling is out of the question.
Shiryaev's book (chapter X) deals with approximation of prices by Brownian motion with variable drift - i.e. price increments are assumed to be independent. Although, to be fair, in that book he only talks about stocks and stock options.
I can only post a link to an introductory excerpt of the book (with a list of references).
You didn't pay attention to the terms Shiryaev stipulated right at the start :
These conditions immediately exclude our field (forex, cfd, futures, etc.) from further consideration carried out in this paper.
Shiryaev knew exactly what he was talking about.
And you, apparently, misunderstood him.
Pay more attention.
roughly the same thing is written in similar mathematical articles that Schrödinger's cat, among others, relies on
fully agree
and w-shin is pretty much the same as formulae, not a bad thingDon't get confused, you were the one who sent it to me. That's a load of crap. I remember it like I remember it now.
What are you doing out of your mind?)
I sent you a working version of the robot from 2014 six months ago.
I don't recall that
Don't get confused, you were the one who sent it to me. It's a mess, I remember it like I remember it now.
Max, I'm up and running on formula.
but I'm still working on it, so don't throw any tomatoes.
;)
I don't remember that.
I'm sorry, that was from 2007 to 2008...
But it will be cooler than in 2014))I'm sorry, that was from 2007 to 2008...
but it's going to be cooler than 2014))It is the model with independent increments that is considered in this thread - otherwise no approximation of their true distribution by sampling is out of the question.
What is not considered here, in this thread. ;))
In Shiryaev's book (chapter X) we speak about approximation of prices by Brownian motion with variable drift - i.e. price increments are assumed to be independent. Although, to be fair, in that book he only talks about stocks and stock options.
This is a poor approximation. Neither stocks, nor stock options, meet that approximation. Their price increments are not independent.
I can only post a link toan introductory excerpt of the book (with a list of references).
Thank you. I will read it. But it's certainly not enough for the full picture.
In fact, I agree that models with independence of price increments are not quite adequate for forex. They may be suitable for describing sharp trend changes and not suitable for describing a flat, for example. But:
1) They are relatively simple.
2) Models with incremental dependencies are also quite applicable to the notion of discontinuity and we can try to build models for them by slightly modifying the existing ones (with independence)