Calculus- Useful in Systems?

Discussion in 'Strategy Building' started by psytrade, Jan 19, 2006.

  1. Steve, I think your talking to an add/delete guy.....

    It appears that we ganged up on him with the rate of change of change stuff.
     
    #11     Jan 19, 2006
  2. So your saying I am on the right road, which means my intuition is correct. I read about and was warned that linear systems dont work when trading, so I guess I need to learn this advanced calculus, non-continuous, etc.... I'll see how it goes.

    See you in 3 years.
     
    #12     Jan 19, 2006
  3. Good old Jack. Talking about second derivatives shows he hasn't actually tried to CALCULATE one on real-time data. It's INTEGRALS that are useful.
     
    #13     Jan 20, 2006
  4. Look forward to your another question then. :)
     
    #14     Jan 20, 2006
  5. Kinda hard to value an option without calculus.

    Martin
     
    #15     Jan 20, 2006
  6. Hey,
    I always thought all you needed for that was Jack's tricks.

    :D
     
    #16     Jan 20, 2006
  7. OK. Well, the implication of this statement is that you have the situation all wrapped up and that the magical world of mathematics is that holy grail. The problem is that many markets behave in all sorts of ways: they dont fit neatly into any particular analysis. Yes, periodic functions (think Sin, Sinh etc) have a lot of utility but just like any type of signal processing you can often need a LOT of sampling to determine if anything is actual signal - and not noise - and then, often by the time you identify a signal, it has gone away.

    This is all a longwinded way of saying that you will perhaps find these methods useful, but at the end of the day you will need to construct your own indicator and trading strategy based upon your understanding of the how markets are actually traded (in addition to other factors) and this information can not really be provided by any magical formula.....

    ... or I could have just said that constructing profitable trading strategies (and executing them) is hard ....
     
    #17     Jan 20, 2006
  8. skepticaltrader

    skepticaltrader Guest

    I only use Differential Equations in my "Systems":D
     
    #18     Jan 20, 2006
  9. I only use Greens Functions ..... No wonder things were not working ....
     
    #19     Jan 20, 2006
  10. Choad

    Choad

    It's useful, but you should keep it on the simple side, IMHO. For example here is a small part of my daytrade scalper program. Something like this is all you really need:

    <P>
    (1) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img66.gif">, iff <i>V</i>(<i>x</i>) is an arbitrary
    differentiable function;
    <P>
    (2) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img67.gif">, iff <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img68.gif">;
    <P>
    (3) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img69.gif">, iff
    <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img70.gif"> the following equalities are true:
    <P><IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img71.gif"><P>
    <P>
    (4) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img72.gif">, iff <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img73.gif">,
    <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img74.gif"> are constants and (9) are true. <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img75.gif">
    are the binomial coefficients.
    <P>
    The operators in theorem 3 have the following representation:
    <P><IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img76.gif"><P>
    <i>I</i> is the unit operator.
    <P>
    <i> Consequence</i>. The 2<i>n</i>th-order PDE
    <P><IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img77.gif"><P>
    is invariant under the following algebras:
    <P>
    (1) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img78.gif">, iff <i>V</i>(<i>x</i>) is an arbitrary
    differentiable function;
    <P>
    (2) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img79.gif">, iff <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img80.gif">;
    <P>
    (3) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img81.gif">, iff <i>V</i> = 0;
    <P>
    (4) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img82.gif">, iff <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img83.gif"> where <i>C</i> is an
    arbitrary constant.
    <P>
    The above operators have representation (10) with
    <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img84.gif">.
    <P>
    Note that symmetry classification of potentials for the
    fourth-order PDE of the form
    <P><IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img85.gif"><P>
    was carried out in [<A HREF="#Sym">8</A>]. In this case, symmetry operators
    have representation (10) with <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img86.gif"> and <i>n</i> = 2.
    <P>
    (iii) Now, let us consider nonlinear PDEs of type (4)
    in (<i>r</i> + 1)-dimensional space:
    <P><IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img87.gif"><P>
    where <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img88.gif"> is complex conjugated function, <i> n </i> is an
    arbitrary integer power and <i>F</i> is an arbitrary complex function
    of <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img89.gif">
    <P>
    We study symmetry classification of (11), i.e. we find
    all functions <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img90.gif"> which admit an extension of
    symmetry of equation (11).
    <P>
    <i> Theorem 4</i>
    Equation (11) is invariant under the following algebras:
    <P>
    (1) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img91.gif">, iff <i>F</i> is an
    arbitrary differentiable function;
    <P>
    (2) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img92.gif">, iff <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img93.gif">;
    <P>
    (3) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img94.gif">, iff
    <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img95.gif">, <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img96.gif">;
    <P>
    (4) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img97.gif">, iff <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img98.gif">;
    <P>
    (5) <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img99.gif">, iff <i>F</i> = 0.
    <P>
    Here, indices <i>a</i>,<i>b</i> are from 1 to <i>r</i>, <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img100.gif">, <i>k</i> is an
    arbitrary number <IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img101.gif">, and the above operators have the
    following representation:
    <P><IMG BORDER=0 ALIGN=TOP ALT="" SRC="http://ej.iop.org/images/0305-4470/30/6/004/Full/img102.gif"><P>
     
    #20     Jan 20, 2006