From theory to practice - page 445
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This is what the distribution of the "memory" function looks like for EURUSD in the sliding window = 1 hour over the last 3 weeks:
On the right we see a giant "tail", which says that in those sections where it appears, i.e. "memory" appears, no Ornstein-Uhlenbeck model or "return to the average" is out of the question.
But how to determine the threshold value - I don't know yet. By persentiles, of course. But =0.99 or 0.999 - I don't know. I can't justify it yet.
Alexander, the market has a memory of course.
I'll try to give you for vodka ;)
Cooking: thinking outside the box and very thoughtful:
Why does the market have a memory and how can we see where this figure is buried/hidden?
for example, a candlestick has a size of 15 points from the low to the high
what is hidden in this length, what is not shown, why has the market moved to 5 digits?
Find the answer to that question and that's it.
I don't need an answer.
Example - eva will be at 1.1712, 1.1744, 100%, debt, memory...
Good luck!
The candlestick hides the Ask and Bid increments for the time interval from the opening of the candlestick to its closing.
Rena also said something about a HIGH-LOW - ABS(CLOSE-OPEN) sequence.
Didn't check it. Maybe there's something there...
there are no correct answers above
unconventionally you have to
Rena also said something about a HIGH-LOW - ABS(CLOSE-OPEN) sequence.
Didn't check it. Maybe there is something there...
Well the candle could be: open > formed low > formed high > went down a little bit and close
Or it can be like this: open > high > low > close (close is bigger than open)
In both cases, the candlestick is bullish, but it is formed differently.
As for the ticks, the observation window of N ticks should be taken as a candle
who saw the supplemented post, profit to all
it will be
Let's not let ignorance pollute the minds of those who suffer.))
On the right we see a gigantic "tail" which says that where it appears, i.e. "memory" appears, there is no question of any Ornstein-Uhlenbeck model or "return to the mean".
Memory is the dependence of the following changes on the previous ones. Tails have nothing to do with memory.
The histogram I posted above is the ACF.
The histogram and the ACF are completely different things. ACF is a function of time shift, histogram is frequency distribution.
So, the trend/float parameter table: Let's keep looking...
A trend is simply a directional price movement. If the price moved out of the previous range, this is a trend. There is no need to complicate things unnecessarily.
The histogram I posted above is the ACF.
I've been tinkering with it for a long time and have come to the conclusion that it's also a load of crap.
So, the table of "trend/float" parameters:
1. Hurst coefficient - no.
2. Pearson skewness coefficient - no.
3. ACF - no.
4. nonentropy - ?
5. incremental velocities - ?
Let's keep looking...
You, as a physicist, should have started with a "physical" market model rather than a mathematical formalisation. You should at least explain for yourself who makes the market, how and for what purpose. For example, I think accounting for non-stationarity is more important than accounting for dependencies, because market makers are thought to do vertical market analysis, not horizontal.