Geodesic
Parametrical analysis of trade algorithms by Monte Carlo method
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 8 (2005) no. 4, pp. 281-287 
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/
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     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},
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Voir la notice de l'article provenant de la source Math-Net.Ru

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.

[1] Artemev S. S., Korsun A. E., Yakunin M. A., “Issledovanie veroyatnostnykh kharakteristik odnogo torgovogo algoritma”, Sib. zhurn. vychisl. matematiki / RAN. Sib. otd-nie. — Novosibirsk, 8:2 (2005), 101–108

[2] Serdtseva N. A., “Analiz torgovykh algoritmov metodom Monte-Karlo”, Trudy konferentsii molodykh uchenykh IVMiMG SO RAN, Novosibirsk, 2004, 187–191

[3] Artemev S. S., Yakunin M. A., Matematicheskoe i statisticheskoe modelirovanie na fondovykh rynkakh, IVMiMG SO RAN, Novosibirsk, 2003