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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2008, Volume 11, Number 1, Pages 19–28 (Mi sjvm30)  
Stock exchange modeling with a price model involving variable variance and correlation coefficients

S. S. Artem'evab, A. S. Villiusb, A. N. Voinovb

a Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
b Novosibirsk State University
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Abstract: The price model with the variance and correlation coefficients as random processes is analyzed. Parametric analysis is realized by means of “direct” and “inverse” trade algorithms. Results of numerical experiments are obtained with the use of INVERT program.
Key words: parametric analysis, trade algorithm, Monte Carlo method, profitability, risk.
Received: 17.10.2006
English version:
Numerical Analysis and Applications, 2008, Volume 1, Issue 1, Pages 17–24
DOI: https://doi.org/10.1007/s12258-008-1002-z
UDC: 519.24+519.86
Language: Russian
Citation: S. S. Artem'ev, A. S. Villius, A. N. Voinov, “Stock exchange modeling with a price model involving variable variance and correlation coefficients”, Sib. Zh. Vychisl. Mat., 11:1 (2008), 19–28; Num. Anal. Appl., 1:1 (2008), 17–24
Citation in format AMSBIB
\Bibitem{ArtVilVoi08}
\by S.~S.~Artem'ev, A.~S.~Villius, A.~N.~Voinov
\paper Stock exchange modeling with a~price model involving variable variance and correlation coefficients
\jour Sib. Zh. Vychisl. Mat.
\yr 2008
\vol 11
\issue 1
\pages 19--28
\mathnet{http://mi.mathnet.ru/sjvm30}
\transl
\jour Num. Anal. Appl.
\yr 2008
\vol 1
\issue 1
\pages 17--24
\crossref{https://doi.org/10.1007/s12258-008-1002-z}
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