Mathematical analysis | Forex Factory

Options

Permalinks
Print Thread

Similar Threads

Mathematical reasons why MOST DayTraders & scalpers fail? 197 replies

Mathematical dummy question 4 replies

the mathematical formula of stochastic 1 reply

chart formation mathematical expectation 5 replies

The BAT mathematical formula for lines? 0 replies

Mathematical analysis

  • #1
  • First Post: Oct 13, 2008 10:56am Oct 13, 2008 10:56am
Hi all,

Currently I am engaged in a project for my math bsc and I want apply different techniques from statistics to the exchange rate on the FOREX markets. Since I am very new in this field and I don't really know my way around I was wondering if you could help me with the following:

- is there a database with the past exchange rates? Preferably an overview of all ticks for a widely traded currency pair.

- Is the exchange rate/interest rate/spread you get via the free accounts of internet brokers such as FXCM a reliable model of trading for real money? In other words, can I use the demo accounts to do scientific research on the FOREX market?

Thanks a lot!

Richard
  • #2
  • Oct 13, 2008 11:04am Oct 13, 2008 11:04am
First, good luck. The road you're about to embark on has been traversed by many, yet completed by few. The markets are, if anything, complex. You will find statistics to be only a rough approximation of market behavior.

Quote
is there a database with the past exchange rates? Preferably an overview of all ticks for a widely traded currency pair.

Not tick by tick, no. But you can get minute by minute data, which is is plenty for a large overview.

Link:
http://www.alpari-idc.com/en/dc/databank.html

Quote
- Is the exchange rate/interest rate/spread you get via the free accounts of internet brokers such as FXCM a reliable model of trading for real money? In other words, can I use the demo accounts to do scientific research on the FOREX market?

Yes, it's all based on the same feed. Demo feeds can be slightly slower (milliseconds) and have other areas of unreliability, but the data is fairly accurate. I often use an MT4 demo for charting on multiple TFs and have never noticed a serious problem.
  • #3
  • Oct 13, 2008 11:18am Oct 13, 2008 11:18am
Thanks for your quick reply! One of my research goals will be to determine if the statistical (if any!) behaviour of the market on small scale is the same as that on large scale. A 1minute overview is very useful and I would greatly appreciate a more detailed one. So if anyone knows if there is one (commercially) available, let me know!

Richard
  • #4
  • Oct 13, 2008 12:31pm Oct 13, 2008 12:31pm
Quote
Thanks for your quick reply! One of my research goals will be to determine if the statistical (if any!) behaviour of the market on small scale is the same as that on large scale. A 1minute overview is very useful and I would greatly appreciate a more detailed one. So if anyone knows if there is one (commercially) available, let me know!

I can already answer that. No, it's not. Larger time frames like weekly and monthly have more "trendy" behavior, which means the distribution is more long tail. While smaller TFs have a more normal distribution. However within smaller TFs there are times when the market trends and times when it ranges, times within times where you have long tails.

Learn the market profile method...
Linky: http://www.cbot.com/cbot/pub/page/0,3181,1168,00.html

Tick data is going to vary from broker to broker a great deal. There is no central exchange in forex.
  • #5
  • Oct 13, 2008 3:17pm Oct 13, 2008 3:17pm
Quoting Rabid
No, it's not. Larger time frames like weekly and monthly have more "trendy" behavior, which means the distribution is more long tail.
I had that impression, too. Do you know any (scientifical) sources for this? If I am not going to do the research myself, I must at least quote it.
  • #6
  • Oct 13, 2008 3:27pm Oct 13, 2008 3:27pm
Statistics of FOREX are well researched and documented. Just google it.
  • #7
  • Last Post: Oct 13, 2008 4:24pm Oct 13, 2008 4:24pm
Quote
I had that impression, too. Do you know any (scientifical) sources for this? If I am not going to do the research myself, I must at least quote it.

I don't know of any that are specific to forex itself, but there are numerous books for financial markets as a whole. Any book on quantitative analysis will do the job, I'd imagine. So start your research there. A search on amazon turned up a lot of results.
0 traders viewing now