Процедура сглаживания биржевых котировок без использования настраиваемых по историческим данным параметров

Вавилов С. А. and Ермоленко К. Ю.

Vestnik of the St. Petersburg University. Series 5. Economics Вестник Санкт-Петербургского университета. Серия 5. Экономика, 2004, issue 2, 97-106

Abstract: The smoothing procedure elaborated in the present article is based on the solution to the illposed problem arising in the model of securities price dynamics at the stock exchange. On the foundation of constructed procedure the trading indicators are proposed to buy or sell a number of securities. In contrast to the well-known procedures based on the "Moving Average" approach, the present proposal does not contain parameters to be determined and optimized according to the historical data.

Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:scn:003571:15435950

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