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Sibirskii Zhurnal Vychislitel'noi Matematiki
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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2005, Volume 8, Number 2, Pages 101–108 (Mi sjvm213)  
This article is cited in 4 scientific papers (total in 4 papers)

Investigation of probability characteristics for a particular trade algorithm

S. S. Artem'eva, A. E. Korsunb, M. A. Yakunina

a Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
b Ob-Invest
Full-text PDF (182 kB) Citations (4)
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Abstract: We investigate probability characteristics of a random sequence which forms the total profitability for the trade algorithm based on a simple model of a price series. In the case of the model of a price series with a Gaussian distribution of profitabilities, the formulas for calculation of some probability characteristics are obtained.
Key words: trade algorithm, profitability, probability density.
Received: 15.07.2004
Bibliographic databases:
UDC: 519.24+519.86
Language: Russian
Citation: S. S. Artem'ev, A. E. Korsun, M. A. Yakunin, “Investigation of probability characteristics for a particular trade algorithm”, Sib. Zh. Vychisl. Mat., 8:2 (2005), 101–108
Citation in format AMSBIB
\Bibitem{ArtKorYak05}
\by S.~S.~Artem'ev, A.~E.~Korsun, M.~A.~Yakunin
\paper Investigation of probability characteristics for a~particular trade algorithm
\jour Sib. Zh. Vychisl. Mat.
\yr 2005
\vol 8
\issue 2
\pages 101--108
\mathnet{http://mi.mathnet.ru/sjvm213}
\zmath{https://zbmath.org/?q=an:1112.91321}
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  • https://www.mathnet.ru/eng/sjvm213
  • https://www.mathnet.ru/eng/sjvm/v8/i2/p101
    • This publication is cited in the following 4 articles:
    1. S. S. Artem'ev, A. S. Villius, A. N. Voinov, “Stock exchange modeling with a price model involving variable variance and correlation coefficients”, Num. Anal. Appl., 1:1 (2008), 17–24  mathnet  crossref
    2. S. S. Artem'ev, M. A. Yakunin, “Analysis of asymptotic distributions of some profitability characteristics of the trade algorithms”, Num. Anal. Appl., 1:2 (2008), 95–104  mathnet  crossref
    3. S. S. Artemev, M. A. Yakunin, “Analiz chisla signalov kupli/prodazhi torgovykh algoritmov”, Sib. zhurn. vychisl. matem., 9:4 (2006), 325–334  mathnet
    4. S. S. Artemev, A. N. Voinov, A. E. Korsun, N. A. Serdtseva, “Parametricheskii analiz torgovykh algoritmov c pomoschyu metoda Monte-Karlo”, Sib. zhurn. vychisl. matem., 8:4 (2005), 281–287  mathnet  zmath
    Citing articles in Google Scholar: Russian citations, English citations
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