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| Author: | falsedave [ Tue Jan 29, 2013 9:46 pm ] |
| Post subject: | Stochastic Calculus |
I have just been doing some reading and the Topic of Stochastic Calculus has come up quite a few times. This is the first time in all my forex reading I have heard it mentioned but it seems like it would be interesting to learn. I did A-level Maths( A While ago now ) so I'm familiar with calculus. If you know about it how has it helped you in your forex trading or am I just wasting my time looking into it ? Can anyone suggest any decent books or pretty simple introductions into Stochastic Calculus eg. Stochastic Calculus for dummies ? |
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| Author: | Steven Smith [ Thu Jan 31, 2013 7:38 am ] |
| Post subject: | Re: Stochastic Calculus |
Stochastic calculus is a branch of mathematics that operates on stochastic processes. It allows a consistent theory of integration to be defined for integrals of stochastic processes with respect to stochastic processes. It is used to model systems that behave randomly. |
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| Author: | falsedave [ Thu Jan 31, 2013 3:43 pm ] |
| Post subject: | Re: Stochastic Calculus |
Thanks for that. How do you use it in your trading ? Is its ridiculously complicated to learn ? |
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| Author: | Jemook [ Thu Jan 31, 2013 11:16 pm ] |
| Post subject: | Re: Stochastic Calculus |
I came in this thread, read a few words and my brain consequently exploded. |
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| Author: | falsedave [ Tue Apr 23, 2013 8:59 pm ] |
| Post subject: | Re: Stochastic Calculus |
Bought a couple of books in the end - Paul Wilmott Introduces Quantitative Finance 2nd Edition and Quantitative trading - How to build your own algorithmic trading business by Ernest Chan. I'll let you know how I get on. |
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| Author: | themaxx [ Fri Apr 26, 2013 8:58 am ] |
| Post subject: | Re: Stochastic Calculus |
Quantitative trading by Ernest Chan is an excellent and enjoyable read, although I never ended up using it. He also has an excellent blog with lots of discussion and free strategies. http://epchan.blogspot.co.uk/ I'm looking forward to his new book. |
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