Parametrical analysis of trade algorithms by Monte Carlo method
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 8 (2005) no. 4, pp. 281-287
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A parametric analysis of fundamental characteristics of profitability and risk of the two trade algorithms is realized by Monte Carlo method. Numerical experiments are executed on the model prices of stocks, which are a discrete analogue to stochastic differential equations. The description of a modeling program is presented.
@article{SJVM_2005_8_4_a1,
author = {S. S. Artem'ev and A. N. Voinov and A. E. Korsun and N. A. Serdtseva},
title = {Parametrical analysis of trade algorithms by {Monte} {Carlo} method},
journal = {Sibirskij \v{z}urnal vy\v{c}islitelʹnoj matematiki},
pages = {281--287},
publisher = {mathdoc},
volume = {8},
number = {4},
year = {2005},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/SJVM_2005_8_4_a1/}
}
TY - JOUR AU - S. S. Artem'ev AU - A. N. Voinov AU - A. E. Korsun AU - N. A. Serdtseva TI - Parametrical analysis of trade algorithms by Monte Carlo method JO - Sibirskij žurnal vyčislitelʹnoj matematiki PY - 2005 SP - 281 EP - 287 VL - 8 IS - 4 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/SJVM_2005_8_4_a1/ LA - ru ID - SJVM_2005_8_4_a1 ER -
%0 Journal Article %A S. S. Artem'ev %A A. N. Voinov %A A. E. Korsun %A N. A. Serdtseva %T Parametrical analysis of trade algorithms by Monte Carlo method %J Sibirskij žurnal vyčislitelʹnoj matematiki %D 2005 %P 281-287 %V 8 %N 4 %I mathdoc %U http://geodesic.mathdoc.fr/item/SJVM_2005_8_4_a1/ %G ru %F SJVM_2005_8_4_a1
S. S. Artem'ev; A. N. Voinov; A. E. Korsun; N. A. Serdtseva. Parametrical analysis of trade algorithms by Monte Carlo method. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 8 (2005) no. 4, pp. 281-287. http://geodesic.mathdoc.fr/item/SJVM_2005_8_4_a1/