Geodesic
The stochastic dynamics of the shares $\textrm{РАО ЕЭС}$ quotations
Matematičeskoe modelirovanie, Tome 17 (2005) no. 2, pp. 119-125 Cet article a éte moissonné depuis la source Math-Net.Ru

Voir la notice de l'article

It is shown that price changes of the shares $\textrm{РАО ЕЭС}$ upon different delay times $\tau$ can be regarded as a stochastic Marcovian process. The evolution of the probability distributions is described by means of the Fokker–Plank equation. It is written in terms of a drift and a diffusion coefficients that are directly estimated from financial data. The drift and diffusion coefficients allow to separate the deterministic and noisy influence on a dynamic of the share quotations. It is also shown that for small $\tau$ the asymptotical behavior of the probability distributions is determined by power-law tail. In the case of large $\tau$ the prices change have Gaussian distribution. 
@article{MM_2005_17_2_a11,
     author = {G. L. Buchbinder and K. M. Chistilin},
     title = {The stochastic dynamics of the shares $\textrm{{\CYRR}{\CYRA}{\CYRO} {\CYRE}{\CYREREV}{\CYRS}}$ quotations},
     journal = {Matemati\v{c}eskoe modelirovanie},
     pages = {119--125},
     year = {2005},
     volume = {17},
     number = {2},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/MM_2005_17_2_a11/}
}
TY  - JOUR
AU  - G. L. Buchbinder
AU  - K. M. Chistilin
TI  - The stochastic dynamics of the shares $\textrm{РАО ЕЭС}$ quotations
JO  - Matematičeskoe modelirovanie
PY  - 2005
SP  - 119
EP  - 125
VL  - 17
IS  - 2
UR  - http://geodesic.mathdoc.fr/item/MM_2005_17_2_a11/
LA  - ru
ID  - MM_2005_17_2_a11
ER  - 
%0 Journal Article
%A G. L. Buchbinder
%A K. M. Chistilin
%T The stochastic dynamics of the shares $\textrm{РАО ЕЭС}$ quotations
%J Matematičeskoe modelirovanie
%D 2005
%P 119-125
%V 17
%N 2
%U http://geodesic.mathdoc.fr/item/MM_2005_17_2_a11/
%G ru
%F MM_2005_17_2_a11
G. L. Buchbinder; K. M. Chistilin. The stochastic dynamics of the shares $\textrm{РАО ЕЭС}$ quotations. Matematičeskoe modelirovanie, Tome 17 (2005) no. 2, pp. 119-125. http://geodesic.mathdoc.fr/item/MM_2005_17_2_a11/