BLACK-SCHOLES

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BLACK-SCHOLES

Postby PascalFXCM » Tue Jan 17, 2012 5:40 pm

Hi,

1. PRESENTATION

My name is Pascal and I am quite new in Forex and trading at large.

However, i have a strong skills in statistical mathematics, signal processing & programming due to my personal experience (MSc in Computer Sciences, Applied Mathematics, Signal Theory).

I started to study forex, behaviour of forex discret signals, 2 months ago, on my own using the unlimited ressources of... Internet and the great marketscope proposed by fxcm!

I guess you will see me getting more posts on few coming months :lol:

2. FIRST PERSONAL STRATEGY

At the moment I was able to make (and code myself!) a first strategy which shows good performance in 3 years scale, using Fractal, Bollinger Band, RSI, ADX indicators and several parameters that needs to be tuned. You can find few elements on this post viewtopic.php?f=25&t=10959. That was a way for me to get familiar with coding with IndicoreSDK, debugging, implement quite complex behaviour using 4 indicators (but so much more can be done for sure!). For the moment i don't really want to publish the code since i have to work harder on it!

I didn't post a lot since i still consider myself as a real beginner. I just want to be confident in what i do before investing real money on the market, I still want to try out the 'limitless' possibilites of trading forex and find what suits me the best!

3. MY PERSONAL SHORT TERM INVESTIGATION
1/ Take at least 4 months of work on my free time at all level regarding trading applications on forex
2/ Implement several strategies and get familiar with most of all interesting lua properties format for strategies
3/ Train on technical and fondamental analysis on virtual mode

4. RIGHT NOW: ABOUT BLACK-SCHOLES FORMULA IMPLEMENTATION IN AN AUTOMATIC TRADING STRATEGIES

Finally, i start this post to exchange with you on that point and try to implement a black-scholes model for autotrading applications. I would like to train my programming skill in lua and also use my skills in maths in order to link it with forex market.

-Is there someone that already knows how Black-Scholes Formula could be linked to Limit/StopLoss/TrailingStop in a precise way? Is the formula implicitly describes in one indicator?


More information about Black-Scholes formula on these links:
wikipedia : http://en.wikipedia.org/wiki/Black%E2%80%93Scholes
pdf : https://files.nyu.edu/sl1544/public/Kno ... dForms.pdf

It might be quite old and familiar for most of you i guess at the moment. But for me it would be a first step in order to complexify the model (next implementation step would probably be a stochastic volatility and so on... till reaching something acceptable) I was also thinking about implementing a Monte-Carlo 'Indicator' in a few!



I would surely take any idea that comes up in your mind! Please feel free to give your opinion even if you think that i'm stupid! :lol:



Much Apologizes for my english! i'm a French Guy like Jean Dujardin :lol:
PascalFXCM
 
Posts: 6
Joined: Sun Jan 01, 2012 5:34 pm

Re: BLACK-SCHOLES

Postby vu34476 » Wed Jan 18, 2012 7:20 am

hellow,
The general assumption of black - scholes is the market distribution is Normal .

don't be sure that this is the way markets behave, especially this year.
vu34476
 
Posts: 24
Joined: Sun Oct 16, 2011 7:48 am

Re: BLACK-SCHOLES

Postby zmender » Mon Jan 23, 2012 12:42 am

BS formulation applies exclusively to modeling derivative pricing of an instrument, more specifically European style options, which is not directly applicable in foreign exchange market. What do you plan to do with it?
zmender
 
Posts: 43
Joined: Thu Nov 10, 2011 11:00 pm


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