dsquared (guest) meinte am 12. Dec, 16:27:
I got two-thirds right over fifty tries
On selecting the real from artificial series, that is. I basically used the "trading creates volatility" result from behavioural finance and made the assumption that the real series would show a relationship between price and trading volume that "made sense" but the artificial ones wouldn't. So I looked for a big spike in volume and checked whether it matched up with a large price move or not. Most of the time, one chart would have a big price move on the big trading volume and the other would just have slow sideways action - that one would be the fake data. I would reckon that I could have got it up to maybe 75% if I had full ability to play around with the scale on the volume charts because quite a lot of them had the scale dominated by a single bar.It didn't keep stats on my ability to predict the stock price but looking at it manually, I would be amazed if I did better than chance.
Mahalanobis antwortete am 12. Dec, 23:11:
Rare Events/Jump Diffusion
I identified 18 out of 25 (72 %) artificial price processes correctly (1 - pbinom(18,25,0.5) = 0.0073).Whenever a process looked liked if it followed the SDE
dPt = σdWienert + dJumpt,
I said that it's not artificial. Some of their artificial processes don't look like plain random walks (actually generalized Brownian bridges), but I think my method isn't too bad ;-D.
dsquared (guest) antwortete am 13. Dec, 00:00:
If I was them I would have bootstrapped actual equity returns
In fact, if I was being a real #!@% I would have bootstrapped four- or five-day sequences of returns and then scaled the "down" days to be equal in magnitude to (the "up" days * the total period return on the real chart).I doubt they went that far but I bet the reason it doesn't look quite like a Brownian bridge is that they're drawing from some empirical distribution or other, in which case anyone who is identifying the patterns based on price alone is doing pretty well.
dsquared (guest) antwortete am 13. Dec, 00:02:
PS I'm now up to 80% w/volume
but can't seem to do it at all without! I therefore obviously insist that it isn't cheating at all.
