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Article

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

1
St. Petersburg State Technological Institute (Technical University), 190013 St. Petersburg, Russia
2
St. Petersburg Institute for Informatics and Automation of the Russian Academy of Sciences, 199178 St. Petersburg, Russia
3
Department of Computing Systems and Computer Science, Admiral Makarov State University of Maritime and Inland Shipping, 198035 St. Petersburg, Russia
4
Center of Econometrics and Business Analytics (CEBA), St. Petersburg State University, 199034 St. Petersburg, Russia
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Author to whom correspondence should be addressed.
Academic Editors: Mihaela Neamțu, Eva Kaslik and Anca Rădulescu
Mathematics 2022, 10(9), 1408; https://doi.org/10.3390/math10091408
Received: 12 March 2022 / Revised: 15 April 2022 / Accepted: 18 April 2022 / Published: 22 April 2022
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. View Full-Text
Keywords: nonstationary immersion environment; chaotic processes; channel strategies; series of observations; channel control strategies; numerical studies; dynamic stability; currency asset management nonstationary immersion environment; chaotic processes; channel strategies; series of observations; channel control strategies; numerical studies; dynamic stability; currency asset management
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MDPI and ACS Style

Musaev, A.; Makshanov, A.; Grigoriev, D. Numerical Studies of Channel Management Strategies for Nonstationary Immersion Environments: EURUSD Case Study. Mathematics 2022, 10, 1408. https://doi.org/10.3390/math10091408

AMA Style

Musaev A, Makshanov A, Grigoriev D. Numerical Studies of Channel Management Strategies for Nonstationary Immersion Environments: EURUSD Case Study. Mathematics. 2022; 10(9):1408. https://doi.org/10.3390/math10091408

Chicago/Turabian Style

Musaev, Alexander, Andrey Makshanov, and Dmitry Grigoriev. 2022. "Numerical Studies of Channel Management Strategies for Nonstationary Immersion Environments: EURUSD Case Study" Mathematics 10, no. 9: 1408. https://doi.org/10.3390/math10091408

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