Advisors and indicators based on the SSA models and non-linear generalizations
Portfolio Management
2014-06-19 v1 Statistical Finance
Abstract
This paper considers method of creation of an advisor and indicator based on the spectral stochastic analysis model, both with linear and non-linear approximation. The problem of entrance to one or another trade position is solved on the basis of combined analysis of dynamics of quotations of all currency pairs, what allows to actively hedge open positions.
Keywords
Cite
@article{arxiv.1406.4783,
title = {Advisors and indicators based on the SSA models and non-linear generalizations},
author = {A. M. Avdeenko},
journal= {arXiv preprint arXiv:1406.4783},
year = {2014}
}
Comments
6 pages, 1 table