Absolute Adviser or Stochastic Model of Trade on the “Heavy Tails” of Distributions


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.

Share and Cite:

A. Avdeenko, "Absolute Adviser or Stochastic Model of Trade on the “Heavy Tails” of Distributions," Journal of Mathematical Finance, Vol. 3 No. 2, 2013, pp. 268-274. doi: 10.4236/jmf.2013.32026.

Conflicts of Interest

The authors declare no conflicts of interest.


[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.

Copyright © 2024 by authors and Scientific Research Publishing Inc.

Creative Commons License

This work and the related PDF file are licensed under a Creative Commons Attribution 4.0 International License.