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Discussion of article "The price movement model and its main provisions (Part 1): The simplest model version and its applications" - page 2

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Interesting article! I would also like to see an explanation in terms of multiple timeframes. (I understand perfectly how it works).
On the current one, trading is all about high risk.
spiderman8811 #:
Interesting article! I would also like to see an explanation in terms of multiple timeframes. (I understand perfectly how it works).
On the current one trading is reduced to high risk.

I am glad that my modest developments are of interest to you!

If I understood you correctly, you are talking about how the Probabilities distribution of price looks like on other timeframes . Approximately (qualitatively, of course) the same and, of course, the readings on all timeframes will be consistent with each other. But, if you play only on this indicator, the risks will be really high. In general, the main thing in the article is somewhat different - fundamental modelling of price movement, and this indicator is presented only to demonstrate the presence of levels and price jumps.

[Deleted]

Main idea 5: "... However, due to many other factors affecting the price (apart from the balance of supply and demand, which also has probabilistic nature), its movement is also probabilistic in the sense that it does not clearly determine the future price but instead sets the subsequent distribution of its probabilities, which is characteristic of market prices at all times - past, present and future."


MD

"...the price is objectively described by the probability distribution, and the group of waves, describing the price movement in the form of a model, describes the movement of its distribution."

===========================================================================================================


Main Idea 6:

"... Such modeling becomes possible. Moreover, it becomes more objective due to the presence of a huge number of market participants and their close interconnection in a single system, in which, therefore, statistical patterns of their cumulative action arise. ... However, in case of the analytical approach, the price waves turn out to be detectable and existing..."

t1


"... , just like its emergent parameters that formally break away from the activity of the numerous market participants who jointly create them, gaining their own reality."

t2

Or Financial Market regime change (see attached):

Or Structural break (see attached).

Structural Break Models vs. Regime Change Models
Regime Change Models Structural Break Models
  • Parameters vary across different regimes.
  • Finite number of regimes.
  • Regimes can be temporary and recurring.
  • Used to model effects of cyclically occurring changes in the economy.
  • Regime is unobserved and driven by stochastic process.
  • Parameters change at different times.
  • Infinite number of structural changes.
  • Non-recurring and permanent shifts.
  • Usually used to model effects of permanent changes in economic structure.

" In a way, we can think of structural change models as a very special case of regime change models, in which each possible "regime" occurs only once."

https://www.aptech.com/blog/introduction-to-markov-switching-models/

Files:
STRUCTURAL_BREAK.png  43 kb
[Deleted]

Hi.

Where i = ?


 

  •    — starting actual amplitude of  mode oscillation,
  • — its fading ratio,
  • — mode oscillation frequency, 
  • —  wave vector of its distribution along the  price scale , 
  •   —  oscillation initial phase,
  • while   is  a single function defining the moment the  oscillation starts.  
Max Brown #:

Hi.

Where i = ?


 

  •    — starting actual amplitude of  mode oscillation,
  • — its fading ratio,
  • — mode oscillation frequency, 
  • —  wave vector of its distribution along the  price scale , 
  •   —  oscillation initial phase,
  • while   is  a single function defining the moment the  oscillation starts.  

Here "i" is a complex unit in the exponent of the exponent (then the exponent becomes a sine type). 

In mathematics, this is taken for granted.
"...the price is objectively described by the probability distribution, and the group of waves, describing the price movement in the form of a model, describes the movement of its distribution."

Regarding the first picture. I agree. Probability distributions, like wave packets, will, of course, spread out over time, increasing their half-width.


This is encoded in the exponent, where the exponent is the time multiplied by the damping factor.

Now for your other two charts (one showing momentum and retracement, the other showing breakout and reversal).

The concepts (ideas) that are given in my article are simply the ideological basis of the mathematical model of price movement developed by me.  By themselves, these concepts can neither be confirmed nor refuted by any price charts. But, if the mathematical model itself is already able to explain the price movements shown by you on the charts (and my mathematical model explains this), then these charts will serve as confirmation of this model. Such questions are considered by me in the third article, which will soon be released.

 

Yes, the model of Markov switching of modes, the link to which you provide, in order, as I understand it, to explain the reversal in the second chart, of course, is interesting, but this is a purely technical model of changing the characteristics of the time series and nothing more. My model is much more fundamental and goes to the very foundations of pricing and the market's own processes.

By the way, you correctly cited my quote under the reversal chart, since internal, emergent-level causes are able to make this reversal (by changing the characteristics of the time series according to the Markov mode switching model).  But strong external events can also cause this reversal.
Max Brown #:

Main idea 5: "... However, due to many other factors affecting the price (apart from the balance of supply and demand, which also has probabilistic nature), its movement is also probabilistic in the sense that it does not clearly determine the future price but instead sets the subsequent distribution of its probabilities, which is characteristic of market prices at all times - past, present and future."


"...the price is objectively described by the probability distribution, and the group of waves, describing the price movement in the form of a model, describes the movement of its distribution."

===========================================================================================================


Main Idea 6:

"... Such modeling becomes possible. Moreover, it becomes more objective due to the presence of a huge number of market participants and their close interconnection in a single system, in which, therefore, statistical patterns of their cumulative action arise. ... However, in case of the analytical approach, the price waves turn out to be detectable and existing..."



"... , just like its emergent parameters that formally break away from the activity of the numerous market participants who jointly create them, gaining their own reality."


In principle, your graphs can serve as good illustrations of the ideas I present. Thank you.

[Deleted]
Aleksey Ivanov #:

In principle, your graphs can serve as good illustrations of the ideas I present. Thank you.

Thank you.


I am studying the equations.

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