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.
@article{SJVM_2008_11_1_a1,
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},
pages = {19--28},
publisher = {mathdoc},
volume = {11},
number = {1},
year = {2008},
language = {ru},
url = {http://geodesic.mathdoc.fr/item/SJVM_2008_11_1_a1/}
}
TY - JOUR AU - S. S. Artem'ev AU - A. S. Villius AU - A. N. Voinov TI - Stock exchange modeling with a~price model involving variable variance and correlation coefficients JO - Sibirskij žurnal vyčislitelʹnoj matematiki PY - 2008 SP - 19 EP - 28 VL - 11 IS - 1 PB - mathdoc UR - http://geodesic.mathdoc.fr/item/SJVM_2008_11_1_a1/ LA - ru ID - SJVM_2008_11_1_a1 ER -
%0 Journal Article %A S. S. Artem'ev %A A. S. Villius %A A. N. Voinov %T Stock exchange modeling with a~price model involving variable variance and correlation coefficients %J Sibirskij žurnal vyčislitelʹnoj matematiki %D 2008 %P 19-28 %V 11 %N 1 %I mathdoc %U http://geodesic.mathdoc.fr/item/SJVM_2008_11_1_a1/ %G ru %F SJVM_2008_11_1_a1
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/