Abstract
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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Bondarenko, Y.V. Probabilistic Model for Description of Evolution of Financial Indices. Cybernetics and Systems Analysis 36, 738–742 (2000). https://doi.org/10.1023/A:1009437108439
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DOI: https://doi.org/10.1023/A:1009437108439