Cool stuff. What's hindering you from making money at this point?
I just started a job implementing asset pricing algorithms for energy contracts similar to what you did, even though a bit more involved (using stochastic dynamic programming and quite complex models for coming up with price paths).
Being completely new to trading I naturally wondered what the catch is, i.e. why I couldn't employ the same techniques for making private profits. Shoot me a mail if you'd like to discuss ideas ;)
> Cool stuff. What's hindering you from making money at this point?
Thanks! That's the goal in the long term.
Besides being a spare-time endeavour, I believe I'm still in the learning phase, studying different statistical finance concepts and techniques, making experiments like this one, assessing the results.
Then the next step I think is to come up with some strategies, perform backtests with historical data and build a real-time automated trading infrastructure.
I have a few friends working in Investment Banks but they're more into traditional portfolio management than automated trading, so they don't help much.
I will organize my thoughts and shoot you a mail once a get the time!
I just started a job implementing asset pricing algorithms for energy contracts similar to what you did, even though a bit more involved (using stochastic dynamic programming and quite complex models for coming up with price paths).
Being completely new to trading I naturally wondered what the catch is, i.e. why I couldn't employ the same techniques for making private profits. Shoot me a mail if you'd like to discuss ideas ;)