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Analysis of asymptotic distributions of some profitability characteristics of trade algorithms |
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| Authors: | S. S. Artemiev M. A. Yakunin |
| Affiliation: | 1. Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, pr. Akad. Lavrent’eva 6, Novosibirsk, 630090, Russia 2. Novosibirsk State University, ul. Pirogova 2, Novosibirsk, 630090, Russia |
| Abstract: | The asymptotic behavior of a model sequence of price increments and some probability characteristics of a trade algorithm are investigated. It is proved that characteristics such as the number of buy and sell transactions and the value of total profitability are asymptotically normal for a stationary m-dependent sequence of price increments. Approximate formulas are derived to calculate their mathematical expectations and variances as functions of parameters of the price series and the trade algorithm. Some results of numerical experiments are presented. |
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