From theory to practice. Part 2 - page 111
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That's the thing. On ticks, if you count at Last prices, Hurst is 0.4. But you can't take the money because of the spread. On the minutes, it's 0.5. No freebies.
Well done, Doc! That's a good point.
So, to preserve this antipersistence on M1, M5, etc., one has to skillfully thin the ticks. The time structure has to be preserved, only on a larger scale. Do you get what I'm saying? No? Fine, then.
Nothing grows without sunshine. My mother once made a small bed on the north side of the house, right next to a blind fence where the sun did not go in at all. She sowed carrots there, and all that grew was a stubby little tail.
Carrots don't grow in the shade.
A plant is not a plant.
but there are some that need shade, like courgette, cabbage
and potatoes need water, otherwise they too will grow, but the root-fruits will be smallBack in the 19th century, Darwin's cousin and the founder of the test approach, the English psychologist Francis Galton(Galton, 1822-1911) dreamed that"by replacing churchmen from the highest positions in the social hierarchy, it would be possible to create a kind of scientific priesthood throughout the kingdom.Alas, his dreams came true. Very soon the professional intercourse of scientists was reduced to rituals based on the commonalities of a given school of thought. Recognition of a discovery was now contingent on whether or not the scientist belonged to the tribe of physicists, historians or linguists. Evidence and argumentation were reduced to references to the works of canonized fathers of a given science. As J.M. Lotman(1922-1993)put it,"The truth is found, and the priests stand guard over it!"
;)
Back in the 19th century, Darwin's cousin and the founder of the test approach, the English psychologist Francis Galton(Galton, 1822-1911) dreamed that"by replacing churchmen from the highest positions in the social hierarchy, it would be possible to create a kind of scientific priesthood throughout the kingdom.Alas, his dreams came true. Very soon the professional intercourse of scientists was reduced to rituals based on the commonalities of a given school of thought. Recognition of a discovery was now contingent on whether or not the scientist belonged to the tribe of physicists, historians or linguists. Evidence and argumentation were reduced to references to the works of canonized fathers of a given science. As J.M. Lotman(1922-1993)put it,"The truth is found, and the priests stand guard over it!"
;)
Well done, Doc! You got that right.
So, in order to preserve this antipersistence on M1, M5, etc., it is necessary to skillfully thin out the ticks. The time structure has to be preserved, only on a larger scale. Do you get what I'm saying? No? Well, fine.
If a series has a Hurst of 0.5, no amount of thinning will change it. Think about it. The series runs away from the starting point at an average rate of sqrt(t). How can thinning anything change this circumstance?
Back in the 19th century, Darwin's cousin and the founder of the test approach, the English psychologist Francis Galton(Galton, 1822-1911) dreamed that"by replacing churchmen from the highest positions in the social hierarchy, it would be possible to create a kind of scientific priesthood throughout the kingdom.Alas, his dreams came true. Very soon the professional intercourse of scientists was reduced to rituals based on the commonalities of a given school of thought. Recognition of a discovery was now contingent on whether or not the scientist belonged to the tribe of physicists, historians or linguists. Evidence and argumentation were reduced to references to the works of canonized fathers of a given science. As J.M. Lotman(1922-1993)put it,"The truth is found, and the priests stand guard over it!"
;)
Oleg, your problems, in my humble opinion, lie not in the realm of science but in psychology.
You have picked up a rather contagious form of cognitive aberration somewhere. Let me try to describe the etiology and pathogenesis of your aberration.
Why is the idea of making money on SB so popular with certain immature souls? Because they see trends or reversions to the mean value on the SB chart and cannot resist the temptation to apply some tricky channel (a scientific one, of course) or oscillator on the chart in hope to make a fistful of big money.
Why then doesn't the subject of applying the same apparatus to a roulette game come up? After all, it's pretty much the same: red/black (+1/-1). Zero can be counted as stakes. Draw a graph and overlay the indicators. Because they can see with their eyes that the outcomes are independent. With their back brains they understand that no channels and oscillators will help.
If you tell me how it all works, it will be interesting to listen.
There is not much to tell,there is such a thing as NDA)))) It's not much different from what they do in other IT offices, e.g. gamdeve etc., if in the context what is the schedule, type of work, etc... But there's more stress and more dough, especially if you're a quantum there who needs to pull a rabbit out of a hat (alpha to find), and regularly, and who doessomenon-profitableshit all the time, at first loses bonuses and then gets released on oxygen.
Alpha is searchedmainly in "alternative" data, what was in the history of prices has long been squeezed dry, thousands of other offices, with huge capitals andsmart specialists, in the rows of prices quanta are mainly focused on different kinds of market bifurcations, when short-term regularities emerge and the "normal market" itselfis predicted on the basis of a mass of other(non-price, "alternative") data, which somehow causes prices to change or generally affects the economy and society in some way. Although this information is not insider information, in theory everyone can collect and analyse it, but it is very expensive and you need to know what data to take and how to work with it. Infact there is a very serious barrier, asif a scientist who needs the LHC to test a hypothesis, and without the LHC it will not work.
Ifhypothetically I would copy all the trading and analytical software from work, then without the data that this system has to feed, I wouldn't make any money myself at home. And even if I had the data, but I would connect to the exchanges as an incorporeal spirit with dozens - hundreds of kilobucks on my account at anon prime broker, on general terms, it's also unlikely that I would earn, but at least no more than 10% a year.
As an example what kind ofdata look here https://www.marketplace.spglobal.com/en/datasets what are we talking about, you have toget and collect this kind of data yourself and it's an order of magnitude more in quantity than what they have in shop and much more high frequency. Many streams of data, especially satellite raw data not yet processed by anyone cost a hell of a lot, but if you buy it as an "alternate date" through intermediaries, it's cheaper by orders of magnitude, but until they process it and give it to you, it has already been traded by the faster hedge funds, you need to get it yourself/process it fastest.
For ageneral outline of analytics, look up"JP Morgan Big Data and AI Strategies" online .
Not everyone has a magic door to Narnia) Tell us how it is, since you are lucky)
It's not about luck, but you need to break through all the doors, bypassing headhunters , not trying too hard, if that's the goal set for yourself, and change companies that you outgrow, most people just don't try or try and get stuck in some DC or bank branch for decades, they think that all the hedge fund geniuses are working, but it's not so, there is turnover everywhere and it's not so hard to get a job. You have to work hard, of course, and if you don't work hard they fire you quickly, but it doesn't matter, you go to another one until you burn out.
If a row has Hurst 0.5, no amount of thinning will change it. Think about it. The series runs away from the starting point at an average speed of sqrt(t). How can you change this circumstance by thinning anything?
The only way is not to use the whole newly formed series after thinning.
In fact, we must open and close the trade, i.e. use a certain part of a large series.
Therefore, even in the series with the Hurst 0.5 we may determine some sectors that will connect them afterwards and create a residual trend.
However, I'm not talking about the door to Narnia to you, but to the magician and his comrade with the multi-coloured pills) I don't think it's easy to worklike yours.)
I agree that "everything has been stolen before us", but with a minor clarification. Not all patterns are of interest to the big players, as some of them may well be poorly scalable in terms of capital intensity and therefore may simply not be profitable for them. On the other hand, such "skinny" patterns may be of interest to small players like us.
Unless we use not the whole newly formed row after thinning.
In fact, we need to open and close transactions, i.e. use a certain part of a large series.
Therefore, even in the series with the Hurst 0.5 we may determine some parts that connect them together and create the residual trend.
For example, we draw two arbitrary lines on the chart and remove all prices that didn't get between them.)