Pair trading and multicurrency arbitrage. The showdown. - page 102

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section "entertaining numerology"

trading chaos of bars is more or less organised in 360 counts of time, regardless of the chosen timeframe

visually well-distinguishable limit.

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only it has nothing to do with sextants, masons, magic squares and angular degrees.

it's just that the focus of a parabola in a normal state is 360. And it can fall there from combinatorial 6!/2!, where "half" is possible from various reasons (e.g. 0 in a round trip exchange). All variations of exchanges have occurred

then the next perceptible thresholds are 7!/3! = 840 , и 7!/2! = 2520

 
Maxim Kuznetsov #:

and force is in newtons. How many newtons in 1 EUR?

- What is strength, brother?
- Strength is in truth, not money.

 
Grigori.S.B #:

- What is strength, brother?
- Strength is in truth, not money.

Given "knowledge=power," we conclude "newton is right." :-)

 
Aleksey Nikolayev #:

Practical study of the difference between correlation (increments) and cointegration is a noble but not thankful endeavour)

It would make more sense to study the possible benefits of synergising spatial arbitrage with temporal arbitrage.

There the entry threshold is very high.
Both in terms of skills at the FPGA level, and rent of equipment, dedicated FOCL channels, etc.
I was interested in this topic, even studied cross-border FOCL routes of exchange data centres.
To arbitrage at the level of professional geeks, it costs a lot of money to maintain the entire infrastructure.
And simple broker arbitrage is inefficient. And this is not about dealing arbitrage.
If you find such a dealer, which is unlikely, you will immediately become a toxic client.
Who will be requoted and will not give their earnings. Even if you use hidden arbitrage, they still calculate you over time.
First they put you in the category of profitable clients and observe you by analysing your trades.
That's all. They quickly put a plugin on you, and put you in the category of unprofitable clients. ))
I on the contrary would characterise dealing arbitrage as an ungrateful business.
And the fact that the analysis of increments makes its own window shoals, yes, something else should be used here.

 
If a dealing puts sticks to arbitrageurs, then no TC can be traded there. A dealing with a good flow is not easy to arbitrage, i.e. the quality of the service itself protects it from becoming toxic to its liquidity providers, if they exist at all. If the flow is good, then there are some. But their pockets aren't bottomless either, they can always shut down your arm without explanation. As a result, you will spend on infrastructure, accordingly you should earn more, and they will just switch you off.

The most "legal" is intra-exchange arbitrage. When an exchange internally brings together different vendors and offers arbitrage accounts. I'm not sure how they benefit from it, maybe something like market making, maybe just a lure, I haven't tried it.

The most cost effective is to arbitrate with DCs and find out how to deal with them, sometimes in your favour. It's almost free :) and your initial funds will almost always be returned, but they will ask you not to use their services anymore.

Arbitrage dts has become inefficient, mainly because there is a rather large arb crowd, whose representatives run from office to office, opening hundreds of accounts. This is a big load, they simply do not have so much to pay out. And this is hundreds and thousands of % in a short time.

You just need to understand that money does not form out of thin air, but flows from pocket to pocket.
 
Maxim Dmitrievsky #:
You just have to realise that money doesn't form out of thin air, it flows from pocket to pocket.

For the most part, it flows from traders' pockets into the DC/broker's pocket.

 
Grigori.S.B #:

Mostly from the traders' pockets to the DC/broker's pocket.

Well, that's their business
 

A chain of reasoning, instead of a notebook.

it is possible to trade not one currency against another, but one against all. That is, the chosen currency against the other multi-currency basket.

And here it turns out to be very curious at closing.

There are two options of closing: 1) to close everything, to take profit/loss 2) to close with a counter trade.

it turns out that they are not quite equal - when trading baskets, in the second option, in the total basket there will be balances / shortages and they will not be balanced (regardless of the method).

suppose there is a market and baskets are traded, then

a) a change in the exchange rate of e.g. USD to the weighted basket will cause significant divergences/movements between the others, because of the residuals; even if the reversal was detected with a delay.

b) reasoning by analogy (others in the basket except USD and further recursively), it is possible to identify a pair of currencies between which a sharp movement (faster than others) is more likely.

the direction of divergence is unknown, but the pair in trade can be identified

 
Maxim Kuznetsov #:

A chain of reasoning, instead of a notebook

Interesting and probably correct.
You need a super fast strategy tester and different AMOs.

MT only has a tester...

So we need to switch to a normal language with MO and write a tester in C++.
Or write all AMOs for MT but don't write a tester.


 
mytarmailS #:
The thoughts are interesting and probably correct.
You need a super fast strategy tester and different AMOs...

MT only has a tester...

So we should switch to a normal language with MO and write a tester in C++.
Or write all AMOs for MT but don't write a tester.


It's curious about baskets in general...

Let's assume that we invest in one basket, i.e. we buy a weighted basket of currencies. After time T the price of the basket will change and the balance will be disturbed.

Re-balancing is done in three ways: 1) in proportions to add what is missing, 2) to redistribute what is available 3) in proportions to remove the surplus.

This in turn leads to the existence of a "greedy" algorithm: if the total price of the basket has grown more than X%, and the leader (the most winning) is in the gap, then it is withdrawn a part of the volume (and profit); if it has fallen more than X%, it is followed by refilling (withdrawal?) to the least loser.

and reducing the list in the basket to a minimum of 3, you can get the algorithm "im.Renat" ; but 3 will have to sit in ambush for a long time.

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