Pair trading and multicurrency arbitrage. The showdown. - page 94
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currencies (pairs) are summarised in a common base, in USD
how is this done?
how do you do it?
USDEUR=1.0/EURUSD
in order to be able to compare (subtract and add), the base currency must be common.
in the screenshot, the window is 24 hours wide, that's where the cyclicality comes from.
Parallel movements (of limits and individual currencies) are prohibited
I reread it and I think I've spoken on an iron nail.
Theprohibition of parallel rates gives rise to non-mystical justifications for Gan's theories and wave markings.
It's time to call in some real number theory people.
USDEUR=1.0/EURUSD
to be eligible to compare (subtract and add), the base currency must be common
Do you do synthetic pairs as well, or just existing pairs converted to dolar?
That's a great idea, but how do you match many pairs to each other if each has a different time
Yes, it turns out that there is a problem with synchronisation.
Maybe then we don't need to synchronise, but just take the last N accurate times.
Do you do synthetic pairs as well, or just existing ones driven to the dolar?
Existing ones are enough.
all synthetics can be recalculated from them in an elementary way.
Yes, it turns out that there is a problem with synchronisation.
Maybe then we don't need to synchronise, but just take the last N precision.
there is a way out, but it is necessary to program and visualise, the very idea to abandon time and go to events is very good, I have been doing this for a long time and AMO always works better on such data, but many pairs to synchronise has not occurred to me.
existing enough.
all synthetics can then be counted elementary from them
Thanks, I'll try to programme it
There is a way out, but you need to program and visualise, the idea to abandon time and go to events is very good,
I have been doing this for a long time and AMO always works better on such data, but many pairs to synchronise has not occurred to me.
Yes, by doing away with time we estimate only price changes, without the time component, which spoils everything in statistical calculations.
But to be honest, I got disappointed in such a science as statistics and its offshoot as econometrics.
Having realised that it is not an exact science that allows for errors, required conditions and biases.
Don't believe statisticians ever ))
existing enough.
all synthetics can then be counted elementary from them
And what to do with pairs without the dolar?
NZDCHF, etc.
ignore?