On One Model of Financial Data
Анотація
The paper considers a model of nonstationary stochastic process of stock price forming that is presented as an additive functional of Wiener process. The trend and weighting function parameters were estimated for real time data series.
Класифікація
Ідентифікатори
Рецензії (0)
Написати рецензіюРецензій ще немає. Будьте першим!
Схожі роботи
Approximation of multifractional Brownian motion by absolutely continuous processes
Схоже за: Complex Systems and Time Series Analysis
Turbulent processes in Earth's magnetosheath by Cluster mission measurements
Схоже за: Complex Systems and Time Series Analysis
Game problems for fractional quasilinear systems
Схоже за: Complex Systems and Time Series Analysis
Analysing Social Epidemics by Delayed Stochastic Models
Схоже за: Complex Systems and Time Series Analysis
Exploring frequency of price overreactions in the Ukrainian stock market
Схоже за: Complex Systems and Time Series Analysis
Multifractality of Brownian motion near absorbing polymers
Схоже за: Complex Systems and Time Series Analysis