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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2008, Volume 11, Number 2, Pages 115–125 (Mi sjvm37)  
This article is cited in 1 scientific paper (total in 1 paper)

Analysis of asymptotic distributions of some profitability characteristics of the trade algorithms

S. S. Artem'evab, M. A. Yakunina

a Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
b Novosibirsk State University
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Abstract: We investigate the asymptotic behavior of a model sequence of price increments and the probability characteristics of a trade algorithm. The asymptotic normality of such characteristics as the number of buy/sell transactions and the value of total profitability has been proved for the stationary $m$-dependent sequence of price increments. The approximate formulas for the calculation of their mathematical expectations and variances as functions of parameters of a price series and a trade algorithm have been obtained. Some results of the numerical experiments are given.
Key words: total profitability, trade algorithm, asymptotic distribution, mixing sequence.
Received: 04.12.2006
English version:
Numerical Analysis and Applications, 2008, Volume 1, Issue 2, Pages 95–104
DOI: https://doi.org/10.1134/S1995423908020018
UDC: 519.24+519.86
Language: Russian
Citation: S. S. Artem'ev, M. A. Yakunin, “Analysis of asymptotic distributions of some profitability characteristics of the trade algorithms”, Sib. Zh. Vychisl. Mat., 11:2 (2008), 115–125; Num. Anal. Appl., 1:2 (2008), 95–104
Citation in format AMSBIB
\Bibitem{ArtYak08}
\by S.~S.~Artem'ev, M.~A.~Yakunin
\paper Analysis of asymptotic distributions of some profitability characteristics of the trade algorithms
\jour Sib. Zh. Vychisl. Mat.
\yr 2008
\vol 11
\issue 2
\pages 115--125
\mathnet{http://mi.mathnet.ru/sjvm37}
\transl
\jour Num. Anal. Appl.
\yr 2008
\vol 1
\issue 2
\pages 95--104
\crossref{https://doi.org/10.1134/S1995423908020018}
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