The algorithm of trade on the “heavy tails” of distributions of financial sequences is considered. Critical conditions and parameters for the implementation of win-win adviser are established. The algorithm subjected to the total testing the Forex market for the periods 1990-2012. The material is presented in the maximum available for non-mathematicians form.
References
[1]
T. Bollerslev, “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, Vol. 31, No. 3, 1986, pp. 307-327
[2]
D. B. Nelson, “Conditional Heteroscedasticity in Asset Returns,” Econometrica, Vol. 59, No. 2, 1991, pp. 347-370.
[3]
R. Engle, “Estimating Time Varying Risk Premia in the Term Structure: The ARCH-M Model,” Econometrica, Vol. 55. No. 2, 1987, pp. 391-407.
[4]
R. F. Engle and A. J. Patton, “What Good Is Volatility Model?” Quantitative Finance, Vol. 1, No. 2, 2001, pp. 237-245. doi:10.1088/1469-7688/1/2/305
[5]
A. M. Avdeenko, “Chaos Structures. Multicurrency Adviser on the Basis of NSW Model and Social-Financial Nets,” 2011.
[6]
A. M. Avdeenko “Multicurrency Adviser Based on the NSW Model. Detailed Description and Perspectives,” 2011.
[7]
А. М. Авдеенко, “Стохастический анализ сложных динамических систем. Рынок Forex,” Нелинейный мир, 2010.
[8]
H. Haken, “Information and Self-Organization,” Springer-Verlag, Berlin, Heidelberg, New York, 2000, 241 p.