TY - JOUR

T1 - Numerical Studies of Channel Management Strategies for Nonstationary Immersion Environments: EURUSD Case Study

AU - Мусаев, Александр Азерович

AU - Макшанов, Андрей

AU - Григорьев, Дмитрий Алексеевич

N1 - Publisher Copyright: © 2022 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (https:// creativecommons.org/licenses/by/ 4.0/).

PY - 2022/5/1

Y1 - 2022/5/1

N2 - This article considers a short-term forecasting of a process that is an output signal of a nonlinear system observed on the background of additive noise. Forecasting is made possible thanks to the technique of nonparametric estimation of local trends. The main problem in this case is the instability of the time of the existence of these local trends. The average duration of relatively stable intervals can be estimated from earlier observation history. Such approaches are called channel strategies. The task of constructing such strategies for EURUSD asset management in the conditions of market chaos is considered, as well as the potential capabilities of these management strategies via computational experiments. We demonstrated the fundamental possibility of achieving profit even for areas with complex dynamics with abrupt changes in the considered process. We propose improved channel strategies and also denote the main directions of increasing their effectiveness.

AB - This article considers a short-term forecasting of a process that is an output signal of a nonlinear system observed on the background of additive noise. Forecasting is made possible thanks to the technique of nonparametric estimation of local trends. The main problem in this case is the instability of the time of the existence of these local trends. The average duration of relatively stable intervals can be estimated from earlier observation history. Such approaches are called channel strategies. The task of constructing such strategies for EURUSD asset management in the conditions of market chaos is considered, as well as the potential capabilities of these management strategies via computational experiments. We demonstrated the fundamental possibility of achieving profit even for areas with complex dynamics with abrupt changes in the considered process. We propose improved channel strategies and also denote the main directions of increasing their effectiveness.

KW - channel control strategies

KW - channel strategies

KW - chaotic processes

KW - currency asset management

KW - dynamic stability

KW - nonstationary immersion environment

KW - numerical studies

KW - series of observations

UR - http://www.scopus.com/inward/record.url?scp=85129261468&partnerID=8YFLogxK

U2 - 10.3390/math10091408

DO - 10.3390/math10091408

M3 - Article

VL - 10

JO - Mathematics

JF - Mathematics

SN - 2227-7390

IS - 9

M1 - 1408

ER -