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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2005, Volume 8, Number 2, Pages 101–108
(Mi sjvm213)
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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
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
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
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https://www.mathnet.ru/eng/sjvm213 https://www.mathnet.ru/eng/sjvm/v8/i2/p101
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Abstract page: | 433 | Full-text PDF : | 153 | References: | 50 |
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