Geodesic
Analysis of the number of sale/purchase signals for trade algorithms
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 9 (2006) no. 4, pp. 325-334 
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/
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     title = {Analysis of the number of sale/purchase signals for trade algorithms},
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Voir la notice de l'article provenant de la source Math-Net.Ru

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.

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

[2] 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

[3] Artemiev S. S., Yakunin M. A., “Mathematical modelling of system trade in currencies, shares and financial futures”, Russ. J. Numer. Anal. Math. Modelling, 20:6 (2005), 501–512 | DOI | MR | Zbl

[4] Smirnov N. V., Bolshev L. N., Tablitsy dlya vychisleniya funktsii dvumernogo normalnogo raspredeleniya, AN SSSR, M., 1962 | MR | Zbl

[5] Artemev S. S., Voinov A. N., Korsun A. E., Serdtseva N. A., “Parametricheskii analiz torgovykh algoritmov s pomoschyu metoda Monte-Karlo”, Sib. zhurn. vychisl. matematiki / RAN. Sib. otd-nie. — Novosibirsk, 8:4 (2005), 281–287 | MR