Central Limit Theorem & Trading

K-Pia · Jul 2, 2016

jk90029 said:
Hope to have a friend having peorsonal logic that "NEVER go broke, EVER"

Taleb's your friend =P

jk90029 · Jul 2, 2016

For study of CLT, I have Billingsley in my bookshelves.

Which book do you have?

jk90029 · Jul 2, 2016

K-Pia said:
Taleb's your friend =P

I never heard Taleb.

But during the last 400 years (after appearance of stock market in Netherland), I would say "There was NO person who attain annual 20 % compounded, for the last 400 years"

K-Pia · Jul 2, 2016

jk90029 said:
For study of CLT, I have Billingsley in my bookshelves.

Which book do you have?

No book at all..
I've read stuff on the web.
The only book on probability I have is :
http://www.mhhe.com/engcs/electrical/papoulis/

jk90029 · Jul 2, 2016

Instead of CLT, possbly stock market is more related to Brownian motion.

K-Pia · Jul 2, 2016

jk90029 said:
Instead of CLT, possbly stock market is more related to Brownian motion.

Yes. GBM.
Mandelbrot is a good read about that.

jk90029 · Jul 2, 2016

K-Pia said:
Yes. GBM.
Mandelbrot is a good read about that.

Possibly close to complex system too.

jk90029 · Jul 2, 2016

Furthermore, a good (profitable and safe in the long-run) trading logic is most likely "stationary".

Sergio77 · Jul 9, 2016

Statistics are descriptive, trading is predictive.

K-Pia · Jul 9, 2016

Sergio77 said:
Statistics are descriptive, trading is predictive.

Statistics has its use with trading since prices have dependences / tendencies. If it were random I'd agree. But it's not. How do you wanna predict with blind evidences ? I am not gullible. I need evidences, likelihoods. Or you're telling me you predict random stuffs ? Happy for you. Guess you don't know what it takes to predict XD You need uncertainty reduction. How do you reduce uncertainty ? ... By many ways, among them -->> DESCRIPTIONS

And trading isn't all about Prediction.
OMG ... Take care.