arXiv subjects
Publications and source records attributed to A. M. Avdeenko.
This paper considers method of creation of an advisor and indicator based on the spectral stochastic analysis model, both with linear and non-linear approximation. The problem of entrance to one or another trade position is solved on the basis of combined analysis of dynamics of quotations of all currency pairs, what allows to actively hedge open positions.
Flexible algorithm of multicurrency trade on Forex market has been built on the grounds of non-linear stochastic wavelets (NSW) model. Probability of the loss-free trade has been evaluated. Results of the algorithm's real-time testing and issues of the algorithm's development are discussed.
Algorithm of multicurrency trading at the market of Forex is realized on the basis of nonlinear stochastic wavelets. The distinctive feature of the algorithm is the possibility of weakly- and strongly connected horizontal self-assemblies, as well as use of nested structures. On-line trading with eight currency couples has shown high effectiveness and stability of the algorithm. It is discussed the problem of possibility of excess profit earning in electronic markets via development of social-financial nets based on synchronization of work of individual traders by means of proposed algorithm.
To define oscillatory movements of securities market, we put in the non-local extension of Ito- equation for wavelet-images of random processes. It is proposed an algorithm of creation of evolutionary equation and a model of prediction of the most probable price movement path. It is carried out experimental validation of findings.