From theory to practice - page 465
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Oleg, agree that, it contains nothing from the market. Why should or is it capable of assessing the state of the market?
I disagree. It (its values) is based entirely on market values. It is not the MA that evaluates market conditions, but the trader.
How far have you come in this direction so far?
From what I've seen, I liked the minority games the most. It's a development of the idea of the El Farol bar game. I only came across this in Russian (it looks like an advertisement - too optimistic). There's not much in English either.
There is also econophysics with potential games that summarise the aforementioned minor ones.
The field was actively developing in the late 90s and early 00s. Now it looks stalled. The market approach looks right, but how to use it in practice is unclear. Models with a bunch of agents will do nothing but overfitting.
Never :)))
Or, when some genius on this forum tells you the Grail algorithm cleanly.
The market is not a game. It is useless to search for market laws at random, even with the power of the mathematical apparatus. The search must be confined to the framework of some theory, assumption or logic, which must be formulated beforehand. Avicenna (Abu Ali Ibn Sino) said: Man is mortal, even while drinking his mother's milk.
How so. The entire modern theory of economics is based largely on game theory.
From what I've seen, I liked the minority games best. It's a development of the idea of the El Farol bar game. In Russian I only came across this(it looks like an advertisement - too optimistic). There's not much in English either.
There is also econophysics with potential games that summarise the aforementioned minor ones.
The direction was actively developing in the late 90s and early 00s. Now it looks stalled. The market approach looks right, but how to use it in practice is unclear. Models with a bunch of agents will do nothing but overfitting.
I understand: you are now in the process of accumulating information, but the critical mass has not yet been reached.
Price is always on the surface, but physicists start digging deep and try to ignore it.
You are looking for a way to the grail in the derivative of price, but you have to work with price and you will succeed.
Yes, Mashka, if it is not a cool trader)) and MA, will not show you a reversal, but if several Mashka already have a chance to detect the probability of a trend reversal, but sorry, with a long delay.
From what I've seen, I liked the minority games best. It's a development of the idea of the El Farol bar game. I only came across this in Russian (it looks like an advertisement - too optimistic). There's not much in English either.
There is also econophysics with potential games that summarise the aforementioned minor ones.
The direction was actively developing in the late 90s and early 00s. Now it looks stalled. The market approach looks right, but how to use it in practice is unclear. Models with a bunch of agents will do nothing but overfitting.
A pile of ubiquitous swaggers is better than a lone proud janitor with a high forehead. Just go for a bunch of agents, it's evolving now. Game theory is primitive
http://banditalgs.com/
The expectation of both the increments and the sum of the increments is strictly =0. I don't work with pure prices, mash-ups, etc. nonsense. Only with increments.
But, I don't impose my TS - alas, so far profit for 5 months of trading =+5%... Sad...
That's why I'm like a wounded lion clinging to ACF.
I remembered where I read about sum of increments and series convergence to zero, I read it in Graham's "Concrete Mathematics", chapter about derivative functions, here is your case on wiki, in Taylor series you rolled your sum of increments
https://ru.wikipedia.org/wiki/%D0%9F%D1%80%D0%BE%D0%B8%D0%B7%D0%B2%D0%BE%D0%B4%D1%8F%D1%89%D0%B0%D1%8F_%D1%84%D1%83%D0%BD%D0%BA%D1%86%D0%B8%D1%8F_%D0%BF%D0%BE%D1%81%D0%BB%D0%B5%D0%B4%D0%BE%D0%B2%D0%B0%D1%82%D0%B5%D0%BB%D1%8C%D0%BD%D0%BE%D1%81%D1%82%D0%B8
a pile of uzbek tworkers is better than a lone proud janitor with a high forehead. Just go to a bunch of agents, it's evolving now. Game theory is primitive.
http://banditalgs.com/
Your opposition makes no sense. The word agent in game theory refers to any participant in a game. It can be a person, a group of people, an organization, etc., as well as their mathematical or computer model.
The multi-armed bandit problem in your link can be regarded as a game with nature. Such games are conceptually simpler (nature's moves are random and set by some distribution) compared to other games and therefore have many good solutions.
I suggest a thoughtful reading of the El Farol bar problem. It is a simple example of a game where the game is played between players, but each of them perceives it as a game with nature. Traders are in a similar situation and your post is further evidence of this.
Your opposition makes no sense. The word agent in game theory refers to any participant in a game. This can be a person, a group of people, an organisation, etc., or a mathematical or computer model of them.
The multi-armed bandit problem in your link can be regarded as a game with nature. Such games are conceptually simpler (nature's moves are random and set by some distribution) compared to other games and therefore have many good solutions.
I suggest a thoughtful reading of the El Farol bar problem. It is a simple example of a game where the game is played between players, but each of them perceives it as a game with nature. Traders are in a similar situation and your post is further evidence of this.
Computer games AI vs human, chess, GO, chatbots. What the hell is nature, who cares. I'm talking about the booming technology at the moment in AI, nothing more sophisticated has been invented yet. Bandits is just an excursion into more complex approaches later.
As for predicting the market - all more or less experienced algorithmic traders have an agreement that the market is unpredictable. Based on this, as well as "game theory", where the market is treated as an auction, other strategies are chosen whose results are statistically significant.