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On Wed, 20 Dec 2000 04:57:55 -0600, you wrote:
>Could you explain this a little further. For instance what techniques are used?
I preferably work in the area of _technical_ (not TA) applications,
which are not of interest here. - In the area of "financial
engineering" I did some work on DAX options, where I used (in a
published paper) "Point-wise correlation dimension" and "Point-wise
largest Lyapunov exponents" calculations to see, if there is some
determinism in option prices.
>Can you share some references?
The work on DAX option is partially published in:
"Modeling Complex Dynamic Real-Life Systems:
Example-based Forecast of Market Trends for DAX Options"
European Symposium on Applications of Intelligent Technologies "ESIT
2000" Aachen, Germany, Sept. 14-15, 2000
(Let me know, if you would like to receive a zipped pdf copy)
>Let's say you find that a series has some degree of complexity; some part
>random, and some deterministic. Now what? Just because the series is
>found to be "not random" it would seem you'd have to determine what
>variables are important and I don't think any of the measures
>you mentioned will do this. Correct?
That's ok for me. Complexity analysis can show only, if there is a
chance to setup a valid model. Otherwise any work would be wasted.
And because dax option prices look considerably deterministic
(following complexity analysis), I tried to setup a _dynamic_ option
price model (using genetic programming on neural models) in contrast
to the _static_ models used today. You may find some results in my
paper mentioned above.
>Have you done any work using approximate entropy (ApEn) to measure randomness?
As far as I remember, ApEn is used preferably to measure the
complexity of non-deterministic data, isn't it? So it would not be the
method of choice for my option pricing work, because I "believe" in
(at least some) determinism in option prices.
>Reply privately is you'd like.
I'm very much interested in some feedback (comments, critics, etc.)
of my option pricing work, because I "normally" work on _technical_
problems and I do not have much contact to "financial" people. So I'm
open to send my paper to anyone, who is willing to send back some
comments & critics etc. Maybe, there is a chance to bring together
some experience from "technical" and "financial" application areas ...
mfg rudolf stricker
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