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ЖУРНАЛЫ // Письма в Журнал экспериментальной и теоретической физики // Архив

Письма в ЖЭТФ, 2015, том 102, выпуск 12, страницы 958–961 (Mi jetpl4823)

Эта публикация цитируется в 3 статьях

РАЗНОЕ

FOREX trades: can the Takens algorithm help to obtain steady profit at investment reallocations?

V. Yu. Petrovab, M. I. Tribelskycb

a Central Economics and Mathematics Institute of the RAS, 117418 Moscow, Russia
b Lomonosov MSU, 119991 Moscow, Russia
c MIREA, 119454 Moscow, Russia

Аннотация: We report our preliminary results of application of the Takens algorithm to build a FOREX trade strategy, resulting in a steady long-time gain for a trader. The actual historical rates for pair EUR vs. USD are used. The values of various parameters of the problem including the “stop loss” and “take profit” thresholds are optimized to provide the maximal gain during the training period. Then, these values are employed for trades. We have succeeded to get the steady gain, if the spread is neglected. It proves that the FOREX market is predictable.

Поступила в редакцию: 26.10.2015

Язык публикации: английский

DOI: 10.7868/S0370274X1524011X


 Англоязычная версия: Journal of Experimental and Theoretical Physics Letters, 2015, 102:12, 841–844

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