{"id":"https://openalex.org/W7203891933","doi":"https://doi.org/10.1007/978-3-032-32104-6_50","title":"Cumulative True Range for Benchmarking of Trading Algorithms","display_name":"Cumulative True Range for Benchmarking of Trading Algorithms","publication_year":2026,"publication_date":"2026-08-21","ids":{"openalex":"https://openalex.org/W7203891933","doi":"https://doi.org/10.1007/978-3-032-32104-6_50"},"language":"en","primary_location":{"id":"doi:10.1007/978-3-032-32104-6_50","doi":"https://doi.org/10.1007/978-3-032-32104-6_50","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-032-32104-6_50","pdf_url":null,"source":{"id":"https://openalex.org/S4210223252","display_name":"EAI/Springer Innovations in Communication and Computing","issn_l":"2522-8595","issn":["2522-8595","2522-8609"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","norway-1","poland-20"],"host_organization":"https://openalex.org/P4310319972","host_organization_name":"Springer International Publishing","host_organization_lineage":["https://openalex.org/P4310319972","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer International Publishing","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"EAI/Springer Innovations in Communication and Computing","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W7213304929","display_name":"The 16th International Scientific Conference on Distance Learning in Applied Informatics"},"type":"conference-paper","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5061440728","display_name":"Martin Drozda","orcid":"https://orcid.org/0000-0001-6485-4855","observed_orcids":["https://orcid.org/0000-0001-6485-4855"]},"institutions":[{"id":"https://openalex.org/I110757952","display_name":"Slovak University of Technology in Bratislava","ror":"https://ror.org/0561ghm58","country_code":"SK","type":"education","lineage":["https://openalex.org/I110757952"]}],"countries":["SK"],"is_corresponding":true,"raw_author_name":"Martin Drozda","raw_affiliation_strings":["Faculty of Electrical Engineering and Information Technology, Slovak University of Technology, Bratislava, Slovakia"],"raw_orcid":"https://orcid.org/0000-0001-6485-4855","affiliations":[{"raw_affiliation_string":"Faculty of Electrical Engineering and Information Technology, Slovak University of Technology, Bratislava, Slovakia","institution_ids":["https://openalex.org/I110757952"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5070964833","display_name":"Maro\u0161 \u010cavojsk\u00fd","orcid":"https://orcid.org/0000-0001-6035-9945","observed_orcids":["https://orcid.org/0000-0001-6035-9945"]},"institutions":[{"id":"https://openalex.org/I110757952","display_name":"Slovak University of Technology in Bratislava","ror":"https://ror.org/0561ghm58","country_code":"SK","type":"education","lineage":["https://openalex.org/I110757952"]}],"countries":["SK"],"is_corresponding":false,"raw_author_name":"Maros Cavojsky","raw_affiliation_strings":["Faculty of Electrical Engineering and Information Technology, Slovak University of Technology, Bratislava, Slovakia"],"raw_orcid":"https://orcid.org/0000-0001-6035-9945","affiliations":[{"raw_affiliation_string":"Faculty of Electrical Engineering and Information Technology, Slovak University of Technology, Bratislava, Slovakia","institution_ids":["https://openalex.org/I110757952"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5061440728"],"corresponding_institution_ids":["https://openalex.org/I110757952"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.0,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":"599","last_page":"610"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9520999789237976,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.9520999789237976,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11326","display_name":"Stock Market Forecasting Methods","score":0.04280000180006027,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.0012000000569969416,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/market-volatility","display_name":"market volatility","score":0.824999988079071},{"id":"https://openalex.org/keywords/algorithmic-trading","display_name":"algorithmic trading","score":0.7170000076293945}],"concepts":[{"id":"https://openalex.org/C86251818","wikidata":"https://www.wikidata.org/wiki/Q816754","display_name":"Benchmarking","level":2,"score":0.7476000189781189},{"id":"https://openalex.org/C158876240","wikidata":"https://www.wikidata.org/wiki/Q17105131","display_name":"Pairs trade","level":4,"score":0.5644000172615051},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.5512999892234802},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.5501000285148621},{"id":"https://openalex.org/C78508483","wikidata":"https://www.wikidata.org/wiki/Q139445","display_name":"Algorithmic trading","level":2,"score":0.5440000295639038},{"id":"https://openalex.org/C181622380","wikidata":"https://www.wikidata.org/wiki/Q26911","display_name":"Profit (economics)","level":2,"score":0.5199999809265137},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4799000024795532},{"id":"https://openalex.org/C204323151","wikidata":"https://www.wikidata.org/wiki/Q905424","display_name":"Range (aeronautics)","level":2,"score":0.43939998745918274},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.42980000376701355},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.42570000886917114},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.39719998836517334},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.38429999351501465},{"id":"https://openalex.org/C24683644","wikidata":"https://www.wikidata.org/wiki/Q138372","display_name":"High-frequency trading","level":3,"score":0.37070000171661377},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.3107999861240387},{"id":"https://openalex.org/C106516650","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm design","level":2,"score":0.2978000044822693},{"id":"https://openalex.org/C178518018","wikidata":"https://www.wikidata.org/wiki/Q1024555","display_name":"CUSUM","level":2,"score":0.2978000044822693},{"id":"https://openalex.org/C207673951","wikidata":"https://www.wikidata.org/wiki/Q1303150","display_name":"Compounding","level":2,"score":0.29429998993873596},{"id":"https://openalex.org/C42475967","wikidata":"https://www.wikidata.org/wiki/Q194292","display_name":"Operations research","level":1,"score":0.273499995470047},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2612000107765198},{"id":"https://openalex.org/C99821215","wikidata":"https://www.wikidata.org/wiki/Q1136583","display_name":"Swap (finance)","level":2,"score":0.26109999418258667},{"id":"https://openalex.org/C114118609","wikidata":"https://www.wikidata.org/wiki/Q3036837","display_name":"Market data","level":2,"score":0.2606000006198883},{"id":"https://openalex.org/C206729178","wikidata":"https://www.wikidata.org/wiki/Q2271896","display_name":"Scheduling (production processes)","level":2,"score":0.25369998812675476},{"id":"https://openalex.org/C186797051","wikidata":"https://www.wikidata.org/wiki/Q60738868","display_name":"Trend following","level":2,"score":0.2502000033855438}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/978-3-032-32104-6_50","doi":"https://doi.org/10.1007/978-3-032-32104-6_50","is_oa":false,"landing_page_url":"https://doi.org/10.1007/978-3-032-32104-6_50","pdf_url":null,"source":{"id":"https://openalex.org/S4210223252","display_name":"EAI/Springer Innovations in Communication and Computing","issn_l":"2522-8595","issn":["2522-8595","2522-8609"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["cwts-core","norway-1","poland-20"],"host_organization":"https://openalex.org/P4310319972","host_organization_name":"Springer International Publishing","host_organization_lineage":["https://openalex.org/P4310319972","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer International Publishing","Springer Nature"],"type":"book series"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"EAI/Springer Innovations in Communication and Computing","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":3,"referenced_works":["https://openalex.org/W2077791698","https://openalex.org/W2964121744","https://openalex.org/W4407688726"],"related_works":["https://openalex.org/W1989094663","https://openalex.org/W2000918459","https://openalex.org/W4388263807","https://openalex.org/W4388796911","https://openalex.org/W7154982857","https://openalex.org/W46291464","https://openalex.org/W4412755069","https://openalex.org/W2266317299","https://openalex.org/W4404672467","https://openalex.org/W7213653144"],"abstract_inverted_index":null,"counts_by_year":[],"updated_date":"2026-11-04T10:54:05.112534","created_date":"2026-08-22T00:00:00"}