Thanks . I could look for "similiar " market conditions in the past (thousands of them ) and build some mean and STD to build a some probability distribution ? This looks naive statistics (?) ...Are there any microsturcture models which are "accessible" enough ? Tom

<t>Hello all . About a question i"ve recently asked but without a solution yet :suppose i want to estimate an asset (currency pair , stock ,etc ) hitting probability of some level in close time period ( e.g say EU/USD is 1.4 now and i wanna estimate it's hit probability in the 1.45 OR 1.36 values in...

Hi . I only need an estimate for some application .It need not be accurate to the point .Do you know of some papers / reference that deals with such issues ? Tom

<t>Hello . I"m trying to get an estimate for intraday hitting probability of an asset in some level . My question regards some fundamental assumptions about log normal distribution of return on intraday scale ( e.g 15 minutes , hours ) - so if i wanna do some simulation about an intraday trading res...

<t>Hello . I"m trying to get an estimate for intraday hitting probability of an asset in some level . My question regards some fundamental assumptions about log normal distribution of return on intraday scale ( e.g 15 minutes , hours ) - so if i wanna do some simulation about an intraday trading res...

<t>So - if i wanna estimate the probability of hitting either stop loss/ take profit in a predifined intraday time period ( say an hour ) - how do you recommend doing that ? - by monte carlo ? Thing is i cant allow myself to run a numeric calculation at each trade entry (technical reasons ...) so i ...

<t>Hello . Does any one knows a reference for a probability of an asset to stay within a range ( low barrier / high barrier ) in a specific time frame and a known volatility in that time ? I guess the double barrier options models can be of use but i can't find closed forms . The purpose - if there'...

<t>Hello . Regarding a question i"ve asked in another forum - turns out that some numeric solution can be changed to closed -form one : In an intraday trading in stocks/futures/currencies etc ... let's say i put a stop loss and a take profit orders and i wanna estimate the probability of hitting one...

Thanks very much for all of your answers ! Tom .

<t>This is what i don't get - what in your building process - is refering to the volatility ? as you wrote - you sample the values randomly - but where does the volatility comes in ? I will expand my need - it's some matrix of probabilities such that for every market condition of soecific asset (nam...

Thanks ! As i see you do not simulate Brownian motion paths as i"ve considered ... Can you please explain that ? Tom .

<t>Well - still i"m looking for some idea about this problem which is more down to the ground : say i look at the EUR/USD or other pair / commodity , and at a specific time say it's traded at 1.5EUR/USD ,and i put a stop loss at 1.4 and take profit at 1.55 . Based on the calculated volatility at ent...

<t>There are forex traders who uses ATR indictor to "measure" volatlity - if i have to "talk" in ATR values - is there a way of stop loss / take profit probability estimation for that ? And if so and i"m talking about 1 hour intervals - what model would you prefer to use for the underlying - i guess...

Hi . Underlyings are indices and currencies pairs .Thanks

<t>Hello all ! In order to analyze a stop loss / take profit policy , i wanna build a tool (calculator or some matrix ) that for a specific market situation - namely volatility - and specific stop loss and take profit levels , i could estimate the probability that stop loss will be touched in a pred...