This article is cited 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

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.

UDC: 519.24+519.86

Received: 07.12.2005