This article is cited in 1 paper

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

S. S. Artem'ev^ab, M. A. Yakunin<sup>a

a</sup> Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
^b Novosibirsk State University

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.

UDC: 519.24+519.86

Received: 04.12.2006

 English version: Numerical Analysis and Applications, 2008, 1:2, 95–104