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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | FOREX Trades: Can the Takens Algorithm Help to Obtain Steady Profit at Investment Reallocations? |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | JETP Letters |
| Publisher | Springer |
| Geographical Reach | international |
| ISSN | 0021-3640 |
| Volume | 102 |
| Number | 12 |
| Page Range | 841 - 844 |
| Date | 2015 |
| Abstract Text | We report our preliminary results of application of the Takens algorithm to build a FOREX trade strategy, resulting in a steady long-time gain for a trader. The actual historical rates for pair EUR vs. USD are used. The values of various parameters of the problem including the “stop loss” and “take profit” thresholds are optimized to provide the maximal gain during the training period. Then, these values are employed for trades. We have succeeded to get the steady gain, if the spread is neglected. It proves that the FOREX market is predictable. |
| Official URL | https://link.springer.com/article/10.1134/S002136401524008X |
| Digital Object Identifier | 10.1134/S002136401524008X |
| Other Identification Number | merlin-id:17792 |
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