Pis'ma v Zhurnal Èksperimental'noi i Teoreticheskoi Fiziki
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Pis'ma v Zhurnal Èksperimental'noi i Teoreticheskoi Fiziki, 2015, Volume 102, Issue 12, Pages 958–961
DOI: https://doi.org/10.7868/S0370274X1524011X (Mi jetpl4823) 		 
This article is cited in 3 scientific papers (total in 3 papers)

MISCELLANEOUS

FOREX trades: can the Takens algorithm help to obtain steady profit at investment reallocations?

V. Yu. Petrovab, M. I. Tribelskycb

a Central Economics and Mathematics Institute of the RAS, 117418 Moscow, Russia
b Lomonosov MSU, 119991 Moscow, Russia
c MIREA, 119454 Moscow, Russia
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DOI: https://doi.org/10.7868/S0370274X1524011X
Abstract: We report our preliminary results of application of the Takens algorithm to build a FOREX trade strategy, resulting in a steady long-time gain for a trader. The actual historical rates for pair EUR vs. USD are used. The values of various parameters of the problem including the “stop loss” and “take profit” thresholds are optimized to provide the maximal gain during the training period. Then, these values are employed for trades. We have succeeded to get the steady gain, if the spread is neglected. It proves that the FOREX market is predictable.
Funding agency Grant number
Russian Science Foundation 14-18-01999
The financial support of this study through Russian Science Foundation grant #14-18-01999 Measurements and Forecasting in Digital Economics is acknowledged.
Received: 26.10.2015
English version:
Journal of Experimental and Theoretical Physics Letters, 2015, Volume 102, Issue 12, Pages 841–844
DOI: https://doi.org/10.1134/S002136401524008X
Bibliographic databases:
Document Type: Article
Language: English
Citation: V. Yu. Petrov, M. I. Tribelsky, “FOREX trades: can the Takens algorithm help to obtain steady profit at investment reallocations?”, Pis'ma v Zh. Èksper. Teoret. Fiz., 102:12 (2015), 958–961; JETP Letters, 102:12 (2015), 841–844
Citation in format AMSBIB
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    • This publication is cited in the following 3 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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    		Письма в Журнал экспериментальной и теоретической физики Pis'ma v Zhurnal Иksperimental'noi i Teoreticheskoi Fiziki
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