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Michael,
On Tue, 15 Aug 2000 12:16:42 +0200, you wrote:
>this is going to be the my last post on this, because it's getting too
>time-consuming for me.
This might be an advantage, because seemingly not many people here are
interested in _preferably directional_ option trading, and otherwise
my 1h/day- limit for trading-related things might be stressed too
much. - But, unfortunately, some of your remarks have to be corrected,
as far as they address my option trading approach (, leaving behind
the subliminal sentiments).
>I am sure there will be some interesting papers from you in the future
Because I'm not a "paper worker", I didn't write any paper about the
"TA-based" part of my trading, because everyone can do similar things
to support his/her practical day-to-day option trading.
About the "DMT-based" part I wrote a more general paper, which will be
presented (and hopefully discussed) at an inter-disciplinary
(european) conference on practical applications of "intelligent"
computing techniques next month. Imo, this DMT model might be of some
interest, because it can be seen as a _dynamic_ extension of the B&S
model. (Let me know by email, if you are interested in a copy of the
paper.)
>You write: "...all the _useful_ combinations of options to trade would
>"automatically" show up if we apply an appropriate system modeling approach
>to a "network" (see above) of options with "constant trading strength".
>
>It's a bit like saying "We would automatically be able to levitate in the
>air if we applied an appropriate levitation modeling approach." Show that it
>can be done!
You may have missed the point, that in fact spreads show up at my
present "1-dim" ATM system, because I work simultaneously with
long/short positions in calls/puts. So why shouldn't this continue, if
I apply the procedure to an "option network". Therefore, there is no
need to parameterize (and test) all the spreads theoretically
possible, because they are implicitly modeled via the "option
network".
>The great thing about option spreads is that you can give three
>variables - price, time, and volatility - different weightings according
>your perception of the market.
That's fine, and my approach (for several reasons) is to concentrate
on price & volatility, where time is handled necessarily as an
implicit parameter, due to the dynamic aspects included.
mfg rudolf stricker
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