Cybernetics and Systems Analysis

, Volume 36, Issue 5, pp 738-742

First online:

Probabilistic Model for Description of Evolution of Financial Indices

  • Yu. V. BondarenkoAffiliated withEducational and Scientific Complex of the Institute of Applied Systems Analysis, National Academy of Sciences of Ukraine, Ministry of Education and Science of Ukraine

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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 finance evolution of financial indices dynamics of stock prices probabilistic models of dynamics of stock prices Katz process ("telegraph process") comparison of actual and model data, connection with the Brownian motion