Недавно встретил фразу "задача трейдера - ловить хвосты нормального распределения". Это некорректно, потому что на рынке не нормальное распределение. Прикладываю 2 картинки, первая - распределение на fRTS, вторая - распределение случайной переменной, параметризированной статистиками fRTS (число испытаний, средняя и стандартное отклонение). Под...
Все знают, что на рынке господствует какое-то НЕнормальное, толстохвостое распределение. В некоторых кругах модно говорить, что приращениями рулит распределение Коши. Сегодня я решил проверить это. Три кандидата: нормальное, Коши и Лапласа (двухсторонее экспоненциальное). Три таймфрейма: дневки, часовики и 5-минутки. Способ фита параметров...
It's very clear about distributions, either in mathematical handbooks or, if that's not enough, in monographs. These are quite sufficient.
StockSharp is already nonsense in itself, and everything he writes about mathematics.) I don't mind at all if the masters are making dough off StockSharp.))
I just wanted to help with the pictures, especially@Dr. Trader wrote you about it, what distributions he got, no, so no, some people like watermelon, and some like pork cartilage))))
Novaja: I just wanted to help with the pictures, moreover@Dr. Trader wrote you about it, what distributions he got, no, so no, some people like watermelon, and some like pork cartilage))))
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Well, you asked - where does the normal distribution come from?
There are several ways to check it.
One of them is using a Student's table.
The rest is above, you wrote yourself, and your graph with the distribution is there too.
And here's what I'm talking about. I don't care what kind of distribution it is for my system. I just want the standard deviation from it.
And my graph - there's nothing normal there.) That's why I wonder how you could get normal.
Yuriy Asaulenko:
I wonder how you could get a normal one.
Is it normal for each report based on past history or what? Then each moment will have a different distribution...
And that's what it's all about. I don't care at all what the distribution is for the system. I only need the standard deviation from it.
And my graph - there is nothing normal there). That's why I wonder how you could get a normal distribution.
Well, how else should it be, if even the wiki says so:
"Fundamentally non-Markovian processes are random processes in complex systems. These include fluctuations in the stock price....".
So there you have it, looking for a flaw in the calculations...Here's a very clever summary of distributions, with pictures and a table.
http://stocksharp.ru/forum/2316/k-voprosu-o-raspredeleniyah/
There are good studies of the distribution of increments here too, with concrete pictures.
http://blog.quantquant.com/blog/statistics_and_probability/317.html
See here, it's very clear about distributions, with pictures and a table.
http://stocksharp.ru/forum/2316/k-voprosu-o-raspredeleniyah/
It's very clear about distributions, either in mathematical handbooks or, if that's not enough, in monographs. These are quite sufficient.
StockSharp is already nonsense in itself, and everything he writes about mathematics.) I don't mind at all if the masters are making dough off StockSharp.))
How else was it supposed to work, when even the wiki says so:
"Fundamentally non-Markovian processes are random processes in complex systems. These include fluctuations in the stock price....".
That's what I was looking for, a flaw in the calculations...The wiki says a lot of things. Sometimes right, sometimes complete nonsense - differently. You have to filter that.))
The complexity of the system has nothing to do with Markovian/non-Markovian.
What flaw in the calculations? The distributions are the same for everyone, I think.
There are good studies of the distribution of increments here too, with concrete pictures.
http://blog.quantquant.com/blog/statistics_and_probability/317.html
I showed the diaries, no conversions.
What kind of trouble did they get into?
Let them rest for now...
I just wanted to help with the pictures, moreover@Dr. Trader wrote you about it, what distributions he got, no, so no, some people like watermelon, and some like pork cartilage))))
We're good inside).