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Strategies & Market Trends : Mike's Big Adventure Trading Forum
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To: Square_Dealings who wrote (1414)1/8/2007 4:22:33 PM
From: yard_man  Read Replies (2) of 1791
 
there are a couple of nice books on this topic as applied to financial markets (I'll try and look them up again next time I am in the library) -- one starts with Differential Eqs -- solving those using mathematica -- another one starts with Difference equations. The Differential equations one attempts to be a first principles kind of thing, interest rates, random walk, etc ... and includes a statistical approach.

I think the best approach would be "model-free" -- i.e. just look at the evolution of stock prices as a dynamical system and go from there bacwards to get parameters for the simplest non-linear iterated function.
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