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S. S. Artemiev, M. A. Yakunin

Mathematical modelling of system trade in currencies, shares, and financial futures

We consider a five-parameter stochastic model of financial instrument price and trade algorithms that use price smoothing by one or two moving averages. Parametric analysis of the profitability and risk of trade algorithms is performed.

Russian Journal of Numerical Analysis and Mathematical Modelling, Walter de Gruyter

Print ISSN: 0927-6467
Volume: 20, 12/2005
Pages: 501 - 512

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