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

has been cited by the following article:

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

  AUTHORS: Alexey M. Avdeenko

  KEYWORDS: Heavy Tails; Forex Market; Adviser

  JOURNAL NAME: Journal of Mathematical Finance, Vol.3 No.2, May 24, 2013

  ABSTRACT: 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.