Some Double Trump Model Characteristics and Experimental Applying Results
Keywords:exchange market, decision management in the global exchange and capital markets, adequate portfolio for the investment decisions reliability assessment, stochastical programming.
The main aim of the paper is to analyze theoretical aspects of development preconditions of original decision management in global currency market FOREX system and to analyze experimental results of decision management in currency market models, offered earlier by other authors. The greater attention is paid to so called double trump model of decision management in currency market (Rutkauskas, 2005), experimental implementation of which indicates the development possibilities of investment strategies, allowing to make better investment decisions than those that are dictated by the market. Along with the examination of the selected model characteristics, which in authors opinion allowed to reveal the existence of such strategies, principles of comparison of investment decisions’ and strategy efficiency with the efficiency of the market were formulated. Furthermore, it is important to pay attention to one important factor of the implementation of the research, results of which are presented in this work and other works of such direction published earlier by other authors. Wide-range experiment is carried out for the examination of expressed thesis and for the verification of the developed original system of decision management in global currency and capital markets. Hypothesis of market efficiency, formulated for the financial markets, and the random movement assumption of the price variation of financial assets contradict any possibility to create, using only historical data, such investment strategies, which allow to increase the investment effect, generated by the corresponding market, in a long-run period. However, the results, received by the authors, argue that such strategies are possible. Twofold trump model of decision management in the global currency market FOREX, that was offered earlier by one of the authors and analysed in the paper, allows to form, leaning only on historical information, practically nonrisky investment strategies, allowing to gain higher investment effect than the effect, insured by the market investment instruments of the corresponding term. Single experiments to find the strategy of decision management in the currency market FOREX at any point of time were successful; however the authors carry out the long-term experiment to prove that in the currency market there are always “nonefficiency shoals”. The results of the experiment can be observed on the following web page: http://www.vgtu.lt/usr/rutkauskas/en/eksperimentas.html. The results witness that the twofold trump model can be already used as the effective tool for the invest ment in the currency market in pursuance of certain personal, company or Treasury goals.