S. S. Artem'ev, A. N. Voinov, A. E. Korsun, N. A. Serdtseva, “Parametrical analysis of trade algorithms by Monte Carlo method”, Sib. Zh. Vychisl. Mat., 2005, Volume 8, Number 4,Pages <nobr>281

This article is cited in 4 papers

Parametrical analysis of trade algorithms by Monte Carlo method

S. S. Artem'ev^a, A. N. Voinov^b, A. E. Korsun^c, N. A. Serdtseva^b

^a Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
^b Novosibirsk State University
^c Ob-Invest

Abstract: A parametric analysis of fundamental characteristics of profitability and risk of the two trade algorithms is realized by Monte Carlo method. Numerical experiments are executed on the model prices of stocks, which are a discrete analogue to stochastic differential equations. The description of a modeling program is presented.

Key words: parametric analysis, trade algorithm, Monte Carlo method, profitability, risk.

UDC: 519.24+519.86

Received: 25.11.2004
Revised: 20.01.2005