Cybernetics and Systems Analysis

, Volume 36, Issue 5, pp 738–742

Probabilistic Model for Description of Evolution of Financial Indices

  • Yu. V. Bondarenko

DOI: 10.1023/A:1009437108439

Cite this article as:
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

Copyright information

© Plenum Publishing Corporation 2000

Authors and Affiliations

  • Yu. V. Bondarenko
    • 1
  1. 1.Educational and Scientific Complex of the Institute of Applied Systems Analysis, National Academy of Sciences of UkraineMinistry of Education and Science of UkraineKievUkraine