Geodesic
Analysis of the number of sale/purchase signals for trade algorithms
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 9 (2006) no. 4, pp. 325-334

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We investigate probability characteristics of the results of the trade for trade algorithms. The latter are based on smoothing a price series by exponential moving average. In the case of the model of a price series with a Gaussian distribution of price increments, the parametric analysis of mathematical expectation of the number of sale/purchase bargains and probability of making a bargain is carried out. 
@article{SJVM_2006_9_4_a0,
     author = {S. S. Artem'ev and M. A. Yakunin},
     title = {Analysis of the number of sale/purchase signals for trade algorithms},
     journal = {Sibirskij \v{z}urnal vy\v{c}islitelʹnoj matematiki},
     pages = {325--334},
     publisher = {mathdoc},
     volume = {9},
     number = {4},
     year = {2006},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SJVM_2006_9_4_a0/}
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S. S. Artem'ev; M. A. Yakunin. Analysis of the number of sale/purchase signals for trade algorithms. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 9 (2006) no. 4, pp. 325-334. http://geodesic.mathdoc.fr/item/SJVM_2006_9_4_a0/