Probabilistic Model for Description of Evolution of Financial Indices
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- Bondarenko, Y.V. Cybernetics and Systems Analysis (2000) 36: 738. doi:10.1023/A:1009437108439
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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
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