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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2006, Volume 9, Number 4, Pages 325–334 (Mi sjvm124)  
This article is cited in 7 scientific papers (total in 7 papers)

Analysis of the number of sale/purchase signals for trade algorithms

S. S. Artem'ev, M. A. Yakunin

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
Full-text PDF (219 kB) Citations (7)
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Abstract: 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.
Key words: trade algorithm, the number of bargains, moving average.
Received: 07.12.2005
UDC: 519.24+519.86
Language: Russian
Citation: S. S. Artem'ev, M. A. Yakunin, “Analysis of the number of sale/purchase signals for trade algorithms”, Sib. Zh. Vychisl. Mat., 9:4 (2006), 325–334
Citation in format AMSBIB
\Bibitem{ArtYak06}
\by S.~S.~Artem'ev, M.~A.~Yakunin
\paper Analysis of the number of sale/purchase signals for trade algorithms
\jour Sib. Zh. Vychisl. Mat.
\yr 2006
\vol 9
\issue 4
\pages 325--334
\mathnet{http://mi.mathnet.ru/sjvm124}
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    • This publication is cited in the following 7 articles:
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