Probabilistic Model for Description of Evolution of Financial Indices
- Yu. V. Bondarenko
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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.
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- Probabilistic Model for Description of Evolution of Financial Indices
Cybernetics and Systems Analysis
Volume 36, Issue 5 , pp 738-742
- Cover Date
- Print ISSN
- Online ISSN
- Kluwer Academic Publishers-Plenum Publishers
- Additional Links
- 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
- Industry Sectors
- Author Affiliations
- 1. Educational and Scientific Complex of the Institute of Applied Systems Analysis, National Academy of Sciences of Ukraine, Ministry of Education and Science of Ukraine, Kiev, Ukraine