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Vestn. Samar. Gos. Tekhn. Univ., Ser. Fiz.-Mat. Nauki [J. Samara State Tech. Univ., Ser. Phys. Math. Sci.]:
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Journal of Samara State Technical University, Ser. Physical and Mathematical Sciences, 2011, Issue 3(24), Pages 189–192
DOI: https://doi.org/10.14498/vsgtu838 (Mi vsgtu838) 		 
This article is cited in 2 scientific papers (total in 2 papers)

Short Communication
Mathematical Modelling

High volatile markets analysis with using Berg method and Chebyshev type II filters, and statistical modeling of the risk of loss for its tools

A. P. Kotenko, M. B. Bukarenko

Dept. of Applied Mathematics and Computer Science, Samara State Technical University, Samara
Full-text PDF (155 kB) Citations (2)
(published under the terms of the Creative Commons Attribution 4.0 International License)
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DOI: https://doi.org/10.14498/vsgtu838
Abstract: We describe the method of technical analysis of highly volatile markets in the framework of signal processing theory, which uses Chebyshev filter. Berg method is used to estimate spectral density of the signal power. The algorithm of optimal AR-model order calculation is given. The method for profit rate estimation based on artificial noise generation, preserving its structure, is developed.
Keywords: linear filter, median filter, Chebyshev filter, spectral estimation, Berg method.
Original article submitted 03/XI/2010
revision submitted – 05/VI/2011
Bibliographic databases:
Document Type: Article
UDC: 519.865.5
MSC: Primary 62P20; Secondary 62M20
Language: Russian
Citation: A. P. Kotenko, M. B. Bukarenko, “High volatile markets analysis with using Berg method and Chebyshev type II filters, and statistical modeling of the risk of loss for its tools”, Vestn. Samar. Gos. Tekhn. Univ., Ser. Fiz.-Mat. Nauki [J. Samara State Tech. Univ., Ser. Phys. Math. Sci.], 3(24) (2011), 189–192
Citation in format AMSBIB
\Bibitem{KotBuk11}
\by A.~P.~Kotenko, M.~B.~Bukarenko
\paper High volatile markets analysis with using Berg method and Chebyshev type II filters, and statistical modeling of the risk of loss for its tools
\jour Vestn. Samar. Gos. Tekhn. Univ., Ser. Fiz.-Mat. Nauki [J. Samara State Tech. Univ., Ser. Phys. Math. Sci.]
\yr 2011
\vol 3(24)
\pages 189--192
\mathnet{http://mi.mathnet.ru/vsgtu838}
\crossref{https://doi.org/10.14498/vsgtu838}
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  • https://www.mathnet.ru/eng/vsgtu/v124/p189
    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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