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The word elegant grabbed my attention. Yes there is an elegant solution but you must have the resources to implement. Check out white papers by Doyne Farmer.

Well most of these books could be renamed, "Throw Spaghetti on the Wall and See if it Sticks". However, David Aronson's book and Perry Kaufman (advanced trading systems) are good authors. As mentioned, the issue with all of these guy is that their method for finding strategies is not...

Ok yes, this makes perfect sense. I can tell you have experience doing this at a very high level, so thank you for dispensing your advice.

I spoke too soon. You mentioned binary options, but I'm looking for replication for Barrier options. For example, if the earliest barrier option is 1 month out and I want to replicate one for 1 week out. Thanks.

Yes, thank you.

Thanks for the response. Unless I am mistaken, it looks like I would need shorter expirations, which won't work for this scenario.

Can anybody explain or give a reference for synthesizing a barrier options contract that expires before the earliest contract date?

Instead of saying "losing system", let's call it a random trading system ( losing could mean we could short the system and it's winning or it could be always losing if commissions kill a system with a small bank role). Pull out a spreadsheet and create random strategies and try to combine them...

Perhaps this will give you some insight: http://arxiv.org/pdf/physics/0508104v1.pdf

thanks for the links. From my limited understanding I would say, if anything, the market is multifractal, but then again this would be a more general discription and there are better and more complete statistical models that do a better job at explaining the data generating process. I would...

If you scroll down that wikipedia page you'll see that the "purest" version of a random walk assumes indendent and identically distributed R.V.'s at each step BUT, there are nontrivial variants which are very relevant to this discussion: multivariate models (think cross-covariance), non-gaussian...

I won't argue against random walks, but do you think that returns are independent and identically distributed? Also please poke holes in the following: http://www.econstor.eu/bitstream/10419/54730/1/683227351.pdf

Interesting paper: http://arxiv.org/pdf/1201.5091v1.pdf

Here's some theories (currently accepted) that are supported by research: People have a baseline level of happiness to which they return to usually within a year of good/bad events (winning the lottery/losing a loved one). Money doesn't buy happiness after about 70k (2009ish income levels)...

thanks, I'll check it out.

How do you guys organize code that you routinely use? As a non-native programmer, I'm slow creating/finding useable code so I rely mainly on existing code. I then have notes on the code, how to use it etc. and when i need to use it i have to look in my notes to remember everything. But, I feel...

I started to write, the I erased and rewrote because I couldn't be concise, so I'll just say that 1) the spread needs to be formalized because this will have a huge impact on the system-- e.g. the market moves to zero before we can act. 2) The example can be made more interesting by...

What's nice avout normalizing anythig? So u can compare apples to oranges and modelling is a lot easier.

Euler's identity.. Hmmm.

He's a young guy trying to market himself and his company, so maybe he does have some publications that serve that purpose. But, he hardly seems like a slouch-- Equalizer mentioned some his background. What do you guys think of his 'switching' papers? It reminds me Olsen's et al's market...