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自动化与信息科学期刊

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ISSN 打印: 1064-2315

ISSN 在线: 2163-9337

SJR: 0.173 SNIP: 0.588 CiteScore™:: 2

Indexed in

Model of Financial Data as Integral of Diffusion Process

卷 43, 册 10, 2011, pp. 64-71
DOI: 10.1615/JAutomatInfScien.v43.i10.70
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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.

参考文献
  1. Shiryaev A.N., Fundamentals of stochastic financial mathematics (in Russian).

  2. Taylor S., Modeling financial time series.

  3. Andersen T., Davis R., Kreiss J.-P., Micoch T., Handbook of financial time series.

  4. Bidyuk P.I., Menyailenko O.S., Polovtsev O.V., Prediction methods, in 2 vol. (in Russian).

  5. Mandelbrot B.B., Van Ness I.W., The fractional Brownian motion, fractional noises and applications.

  6. Mishura Yu., Stochastic calculus for fractional Brownian motion and related processes.

  7. Bidyuk P.I., Bondarenko V.V., On one model of financial data.

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