Quote from: camem on April 05, 2013, 09:31:14 PM

don't worry this market's immature and volatile too - would be impressed if the same model worked for standard FX and BTC at the moment !

forgive my lack of quant knowledge, how much ahead of some historical data do you try and predict an 'output' ? A tick ? A fixed time period ? i.e. how far ahead is the model designed to look ? It looks from the close tracking of external events like it can't be much more than a day or two ?

We have quite a few pricing models published at the moment. Many of them are traditional FX, but also Debt, Equity, and Commodities. All of which use our modeling engine. The currently published list is available here (chrome/firefox/opera): https://www.quantsig.net/#?&view=models

Your question is completely valid. There are different ways to approach the problem. The method you describe is quite common and has a proven record in various strategies. However, that is not the sort of models we run. Our models are trained to output the current price of the target instrument using a number of inputs from across markets. In effect, our models do not fit the future, they fit the market.