每年出版 12 期
ISSN 打印: 1064-2315
ISSN 在线: 2163-9337
Indexed in
Model of Financial Data as Integral of Diffusion Process
摘要
The model of financial data as integral of diffusion process is proposed. We consider such characteristics of the model as covariance function and one-dimensional distributions; we constructed estimates for model parameters. For certain case we solve the problem of prediction. By the examples of finance data, stock prices, we test adequacy of the suggested model.
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