Geodesic
Stock exchange modeling with a~price model involving variable variance and correlation coefficients
Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 11 (2008) no. 1, pp. 19-28

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The price model with the variance and correlation coefficients as random processes is analyzed. Parametric analysis is realized by means of “direct” and “inverse” trade algorithms. Results of numerical experiments are obtained with the use of INVERT program. 
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     author = {S. S. Artem'ev and A. S. Villius and A. N. Voinov},
     title = {Stock exchange modeling with a~price model involving variable variance and correlation coefficients},
     journal = {Sibirskij \v{z}urnal vy\v{c}islitelʹnoj matematiki},
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     publisher = {mathdoc},
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     number = {1},
     year = {2008},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/SJVM_2008_11_1_a1/}
}
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S. S. Artem'ev; A. S. Villius; A. N. Voinov. Stock exchange modeling with a~price model involving variable variance and correlation coefficients. Sibirskij žurnal vyčislitelʹnoj matematiki, Tome 11 (2008) no. 1, pp. 19-28. http://geodesic.mathdoc.fr/item/SJVM_2008_11_1_a1/