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Advisors and indicators based on the SSA models and non-linear generalizations

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  • A. M. Avdeenko

Abstract

This paper considers method of creation of an advisor and indicator based on the spectral stochastic analysis model, both with linear and non-linear approximation. The problem of entrance to one or another trade position is solved on the basis of combined analysis of dynamics of quotations of all currency pairs, what allows to actively hedge open positions.

Suggested Citation

  • A. M. Avdeenko, 2014. "Advisors and indicators based on the SSA models and non-linear generalizations," Papers 1406.4783, arXiv.org.
    • Handle: RePEc:arx:papers:1406.4783
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    References listed on IDEAS

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    1. A. M. Avdeenko, 2011. "Multicurrency advisor based on the NSW model. Detailed description and perspectives," Papers 1111.5726, arXiv.org.
    2. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    3. Nelson, Daniel B, 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach," Econometrica, Econometric Society, vol. 59(2), pages 347-370, March.
    4. A. M. Avdeenko, 2011. "Chaos structures. Multicurrency adviser on the basis of NSW model and social-financial nets," Papers 1106.4502, arXiv.org.
    5. Engle, Robert F & Lilien, David M & Robins, Russell P, 1987. "Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model," Econometrica, Econometric Society, vol. 55(2), pages 391-407, March.
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