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High volatile markets analysis with using Berg method and Chebyshev type II filters, and statistical modeling of the risk of loss for its tools
Journal of Samara State Technical University, Ser. Physical and Mathematical Sciences, Tome 124 (2011) no. 3, pp. 189-192 Cet article a éte moissonné depuis la source Math-Net.Ru

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We describe the method of technical analysis of highly volatile markets in the framework of signal processing theory, which uses Chebyshev filter. Berg method is used to estimate spectral density of the signal power. The algorithm of optimal AR-model order calculation is given. The method for profit rate estimation based on artificial noise generation, preserving its structure, is developed.
Keywords: linear filter, median filter, Chebyshev filter, Berg method.
Mots-clés : spectral estimation 
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A. P. Kotenko; M. B. Bukarenko. High volatile markets analysis with using Berg method and Chebyshev type II filters, and statistical modeling of the risk of loss for its tools. Journal of Samara State Technical University, Ser. Physical and Mathematical Sciences, Tome 124 (2011) no. 3, pp. 189-192. http://geodesic.mathdoc.fr/item/VSGTU_2011_124_3_a23/

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