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This article is cited in 2 scientific papers (total in 2 papers)
The stochastic dynamics of the shares $\textrm{ÐÀÎ ÅÝÑ}$ quotations
G. L. Buchbinder, K. M. Chistilin Omsk State University
Abstract:
It is shown that price changes of the shares $\textrm{ÐÀÎ ÅÝÑ}$ upon different delay times $\tau$ can be regarded as a stochastic Marcovian process. The evolution of the probability distributions
is described by means of the Fokker–Plank equation. It is written in terms of a drift and a diffusion coefficients that are directly estimated from financial data. The drift and diffusion
coefficients allow to separate the deterministic and noisy influence on a dynamic of the share quotations. It is also shown that for small $\tau$ the asymptotical behavior of the probability
distributions is determined by power-law tail. In the case of large $\tau$ the prices change have Gaussian distribution.
Received: 08.06.2004
Citation:
G. L. Buchbinder, K. M. Chistilin, “The stochastic dynamics of the shares $\textrm{ÐÀÎ ÅÝÑ}$ quotations”, Matem. Mod., 17:2 (2005), 119–125
Linking options:
https://www.mathnet.ru/eng/mm161 https://www.mathnet.ru/eng/mm/v17/i2/p119
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Abstract page: | 495 | Full-text PDF : | 136 | First page: | 1 |
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