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Here, for example, it is argued that the optimal sample size =30 days. One month! That's crazy...
I propose to consider a period of 3 months.
I.e. a quarter.
There is no need for a floating window.
And from start to finish.
That is most likely why there was a crisis, because the fund had accumulated a huge amount of capital.
I don't think so. I don't remember what happened in Asia, but in Russia there was a default due to the collapse of the GKO pyramid, even Soros lost a lot on that.
To reassure you a little bit. Excerpt from the article. And you probably didn't watch the documentary "In the Exchange Pit". Otherwise you wouldn't have shown yourself to be such a fool.
It is the height of insanity when some "Nobel Prize" economists try to use their "discoveries" in practice. Thus, American economistsHarry Markowitz and Merton Miller in 1990 received the Nobel "for their contribution to the theory of financial asset pricing".Robert Merton and M. Scholesin 1997 were awarded the Nobel "for their methods of valuation of financial derivatives".Without going into details, I will note that their works encouraged speculative gambling in the markets, promising that the use of models developed by them would insure players against risks. In short, the "Nobel geniuses" believed in their genius and fearlessly threw themselves into the game: R. Merton and M. Scholes created the hedge fund Long-Term Capital Management (an investment fund not subject to regulatory restrictions). However, by 1998 the fund was already bankrupt, with losses in the billions of dollars. Fortunately for these "geniuses", they managed to get the Nobels a few months before their bankruptcy.
I don't intend to bullshit with you. Not a great honour. That's enough.
However, the foundation was not set up and managed by the laureates themselves, it should not be exaggerated. In the beginning, the Foundation did very well. The crises in Russia and Asia ruined it. In addition, other traders copied their trades. This describes the market very well - even a very good strategy will eventually become unprofitable. Which, in particular, speaks to the fundamental impossibility of the grail.
Great charts, Eugene, just tell me why the scale is shifted on charts with and without the average
Figure 1 - Current amount of increments and average amount of increments.
Diagram 2 - Deviation of the current increment sum from the average increment sum.
Diagram 3 - Deviation of the current sum of increments from the average sum of increments.
Graph 4 - Closing price of M1.
Figure 1 - Current amount of increments and average amount of increments.
Diagram 2 - Deviation of the current increment sum from the average increment sum.
Diagram 3 - Gradient of the deviation of the current sum of increments from the average sum of increments.
Graph 4 - Closing price of M1.
Zhenya, can you tell something about the increments other than the difference of two prices?
What is this beast and why are they there, i.e. why is the price creeping up and down?
Figure 1 - Current amount of increments and average amount of increments.
Diagram 2 - Deviation of the current increment sum from the average increment sum.
Diagram 3 - Gradient of the current increment sum deviation from the average increment sum.
Diagram 4 - Closing price M1.
Zhenya, can you tell me anything about the increments apart from the fact that it is the difference of two prices?
What is this beast and why are they there, i.e. why does the price creep up and down?
I can't tell you as I don't know what to tell you.
Logically, the price is creeping towards parity.