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Sibirskii Zhurnal Vychislitel'noi Matematiki, 2009, Volume 12, Number 2, Pages 121–129 (Mi sjvm9)  
This article is cited in 2 scientific papers (total in 2 papers)

Parameters estimates of a price series model as solution to linear SDE with a Poisson component

T. A. Averina, M. A. Yakunin

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
Full-text PDF (191 kB) Citations (2)
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Abstract: The model of a series of price increments with jumps is constructed based on a linear stochastic differential equation with a Poisson component. The estimates of unknown parameters of the model and SDE are obtained with the help of the method of moments. The algorithm for statistical simulation of the solution to SDE with a Poisson component in a general form is proposed. Some results of the numerical experiments are given.
Key words: stochastic differential equations (SDE), Poisson component, price series, estimates of parameters.
Received: 29.12.2007
English version:
Numerical Analysis and Applications, 2009, Volume 2, Issue 2, Pages 99–105
DOI: https://doi.org/10.1134/S1995423909020013
Bibliographic databases:
UDC: 519.676
Language: Russian
Citation: T. A. Averina, M. A. Yakunin, “Parameters estimates of a price series model as solution to linear SDE with a Poisson component”, Sib. Zh. Vychisl. Mat., 12:2 (2009), 121–129; Num. Anal. Appl., 2:2 (2009), 99–105
Citation in format AMSBIB
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\by T.~A.~Averina, M.~A.~Yakunin
\paper Parameters estimates of a~price series model as solution to linear~SDE with a~Poisson component
\jour Sib. Zh. Vychisl. Mat.
\yr 2009
\vol 12
\issue 2
\pages 121--129
\mathnet{http://mi.mathnet.ru/sjvm9}
\transl
\jour Num. Anal. Appl.
\yr 2009
\vol 2
\issue 2
\pages 99--105
\crossref{https://doi.org/10.1134/S1995423909020013}
\scopus{https://www.scopus.com/record/display.url?origin=inward&eid=2-s2.0-67650404216}
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    • This publication is cited in the following 2 articles:
    Citing articles in Google Scholar: Russian citations, English citations
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