Bondarenko, Y.V. Cybernetics and Systems Analysis (2000) 36: 738. doi:10.1023/A:1009437108439
A model describing the dynamics of stock prices is considered. The model is based on the Katz process ("telegraph process"). Estimates of unknown model parameters are found.
stochastic mathematics of financeevolution of financial indicesdynamics of stock pricesprobabilistic models of dynamics of stock pricesKatz process ("telegraph process")comparison of actual and model data, connection with the Brownian motion