کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
974134 1480137 2015 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
With string model to time series forecasting
ترجمه فارسی عنوان
با مدل رشته ای به پیش بینی سری زمانی
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات فیزیک ریاضی
چکیده انگلیسی


• We utilize the projections of the real exchange rate dynamics onto the string-like topology in the OANDA market.
• The prediction models in trading in the financial forex market are built.
• In the framework of string theory approach the trading algorithm is constructed.
• The real application of the multi-string structures is provided to demonstrate our ideas.
• Stability of the algorithm on the transaction costs for long trade periods was demonstrated.

Overwhelming majority of econometric models applied on a long term basis in the financial forex market do not work sufficiently well. The reason is that transaction costs and arbitrage opportunity are not included, as this does not simulate the real financial markets. Analyses are not conducted on the non equidistant date but rather on the aggregate date, which is also not a real financial case. In this paper, we would like to show a new way how to analyze and, moreover, forecast financial market. We utilize the projections of the real exchange rate dynamics onto the string-like topology in the OANDA market. The latter approach allows us to build the stable prediction models in trading in the financial forex market. The real application of the multi-string structures is provided to demonstrate our ideas for the solution of the problem of the robust portfolio selection. The comparison with the trend following strategies was performed, the stability of the algorithm on the transaction costs for long trade periods was confirmed.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Physica A: Statistical Mechanics and its Applications - Volume 436, 15 October 2015, Pages 135–146
نویسندگان
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