Geodesic
Analysis of asymptotic distributions of some profitability characteristics of the trade algorithms
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 11 (2008) no. 2, pp. 115-125

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We investigate the asymptotic behavior of a model sequence of price increments and the probability characteristics of a trade algorithm. The asymptotic normality of such characteristics as the number of buy/sell transactions and the value of total profitability has been proved for the stationary $m$-dependent sequence of price increments. The approximate formulas for the calculation of their mathematical expectations and variances as functions of parameters of a price series and a trade algorithm have been obtained. Some results of the numerical experiments are given. 
@article{SJVM_2008_11_2_a0,
     author = {S. S. Artem'ev and M. A. Yakunin},
     title = {Analysis of asymptotic distributions of some profitability characteristics of the trade algorithms},
     journal = {Sibirskij \v{z}urnal vy\v{c}islitelʹnoj matematiki},
     pages = {115--125},
     publisher = {mathdoc},
     volume = {11},
     number = {2},
     year = {2008},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SJVM_2008_11_2_a0/}
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S. S. Artem'ev; M. A. Yakunin. Analysis of asymptotic distributions of some profitability characteristics of the trade algorithms. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 11 (2008) no. 2, pp. 115-125. http://geodesic.mathdoc.fr/item/SJVM_2008_11_2_a0/