Jump to content
Sign in to follow this  
khaled

A question on statistics

Recommended Posts

Greetings,

 

I'm working on a project where Stocks data are managed in order to be analyzed for an investor,

 

1. what statistical distribution\s should I use for this type of data ?

 

2. should I only consider the final price of the stock during the day, or include more detailed variables ?

Share this post


Link to post
Share on other sites

Greetings,

 

I'm working on a project where Stocks data are managed in order to be analyzed for an investor,

 

1. what statistical distribution\s should I use for this type of data ?

 

2. should I only consider the final price of the stock during the day, or include more detailed variables ?

 

The mere fact that you are asking these questions shows that you are in WAY over your head.

 

No one has any particularly effective trading models of the stock market, or if they do they are not talking. Modern high-frequency traders use models that consider the stock price a millisecond ago, and they do not alway make money -- sometimes they lose quite a bit.

 

There are some models used in the bond market that are effective for large trading houses. They have groups typically staffed by PhD ex-particle physicists and/or algebraic geometers working full-time on sophisticated models. But even these guys don't try to predict the stock market over any significant length of tiime.

 

If you are going to pursue this sort of thing seriously you need to really learn the theory of stochastic proceses and the associated calculus. When you understand both the Ito integral and the Stratonovic integral you will be almost prepared. Until then you might as well skip the middleman and just send your money to Goldman Sachs. Or go to Vegas and have some fun while you lose your money.

Share this post


Link to post
Share on other sites
If you are going to pursue this sort of thing seriously you need to really learn the theory of stochastic proceses and the associated calculus.

 

I had a class on Probability & Statistics, and another on Simulation & Modeling.

 

When you understand both the Ito integral and the Stratonovic integral you will be almost prepared.

 

So I need to learn these integrals, and what else should I learn in order to be able to build a model ?

 

Until then you might as well skip the middleman and just send your money to Goldman Sachs. Or go to Vegas and have some fun while you lose your money.

 

Actually, I'm writing a software for my father, my father wants simple functionality which will be considered in the first version. The software is simple

 

it keeps stocks price data, but I want to add more analysis functionalities to the software.

Share this post


Link to post
Share on other sites

It seem that Statistical Mechanics of Stock Markets are modeled using Mathematical Physics Models,

 

I know mathematics and physics, but what is mathematical physics ?

Edited by khaled

Share this post


Link to post
Share on other sites

I think you're slightly off track. The first sentence of the Wikipedia article on Statistical mechanics reads:

 

Statistical mechanics or statistical thermodynamics is a branch of physics that applies probability theory, which contains mathematical tools for dealing with large populations, to the study of the thermodynamic behavior of systems composed of a large number of particles.

So there you have it. Stock markets are systems composed of a large number of stocks, and you're interested in developing mathematical tools that use probability theory in order to study the dynamic behavior of these systems.

Edited by ewmon

Share this post


Link to post
Share on other sites

Create an account or sign in to comment

You need to be a member in order to leave a comment

Create an account

Sign up for a new account in our community. It's easy!

Register a new account

Sign in

Already have an account? Sign in here.

Sign In Now
Sign in to follow this  

×
×
  • Create New...

Important Information

We have placed cookies on your device to help make this website better. You can adjust your cookie settings, otherwise we'll assume you're okay to continue.