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

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.

Link to work
2022 articles