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Journal of Automation and Information Sciences
SJR: 0.232 SNIP: 0.464 CiteScore™: 0.27

ISSN 印刷: 1064-2315
ISSN オンライン: 2163-9337

巻:
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Journal of Automation and Information Sciences

DOI: 10.1615/JAutomatInfScien.v43.i10.70
pages 64-71

Model of Financial Data as Integral of Diffusion Process

Valeriya V. Bondarenko
Training Scientific Complex " Institute for Applied Systems Analysis of National Technical University of Ukraine "Kiev Polytechnic Institute"

要約

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

  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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