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

Alexander Musaev, Andrey Makshanov and Dmitry Grigoriev
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Alexander Musaev: St. Petersburg State Technological Institute (Technical University), 190013 St. Petersburg, Russia
Andrey Makshanov: Department of Computing Systems and Computer Science, Admiral Makarov State University of Maritime and Inland Shipping, 198035 St. Petersburg, Russia
Dmitry Grigoriev: Center of Econometrics and Business Analytics (CEBA), St. Petersburg State University, 199034 St. Petersburg, Russia

Mathematics, 2022, vol. 10, issue 9, 1-20

Abstract: 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.

Keywords: nonstationary immersion environment; chaotic processes; channel strategies; series of observations; channel control strategies; numerical studies; dynamic stability; currency asset management (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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