From theory to practice - page 1650
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However, years of covert secret development in machine learning have shown that there is virtually no constant alpha in price increments
Back to arbitrage and martingale? ))
Three things you can watch endlessly: how the fire burns, how the waterfall falls, and how the tradun persists in trying to prove the inherently unprovable XD
and how the Sorcerer burns in flames and then falls into a waterfall, in slomo
However, years of covert secret development in machine learning have shown that there is virtually no constant alpha in price increments
Back to arbitrage and martingale? ))
Well, there must be something about them, if the graph is not random, then future increments must depend on past increments (logically speaking)...
Well there must be something about them, if the chart is not random, then future increments should depend on past ones (logically speaking)...
random, there is no indication that it is not random
or look for markets with artificial restrictions on volatility and so on, but they are few and lazy. Maybe there aren't any.
random, there is no indication that it is not random
or look for markets with artificial restrictions on volatility and so on, but they are few and lazy. Or maybe they don't exist anymore
What about volatility rebalancing? (There was something on smartlab but I never got it)
What about rebalancing volatility? (There was something on smartlab, I never understood it)
There's just normalising the increments by volatility to remove heteroscedasticity. In my last video in the MoD thread it's done.
random, there is no indication that it is not random
or look for markets with artificial restrictions on volatility and so on, but they are few and lazy. Maybe there are no such markets
there are things in the market that are 100% non-random - clear volatility cycles
In itself, the probability distribution of periods of low volatility and high volatility separately are random.
But if you divide markets by volatility cycles and build distributions - voila - homoscedasticity is there)
But at low volatility the usual martin works and at high volatility the order tunnel works. That's it.
there are things in the market which are 100% non-random - clear cycles of volatility
The probability distributions of periods of low volatility and high volatility separately are random in themselves.
But if you divide markets by volatility cycles and build distributions - voila - homoscedasticity is right there)
But at low volatility the usual martin works and at high volatility the order tunnel works. That's all.
I'm talking about martin because there is no regularity in returns, there is only clustering of voles
i used to trade on the market but it is not a regularity but rubbish, these cycles are floating too, the payoff will be small
You'd have to be blind not to notice the pattern.)
I've been saying that for a year now.
it's a low-yielding hat.