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 
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/
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Voir la notice de l'article provenant de la source Math-Net.Ru

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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[2] Artemev S. S., Voinov A. N., Korsun A. E., Serdtseva N. A., “Parametricheskii analiz torgovykh algoritmov c pomoschyu metoda Monte-Karlo”, Sib. zhurn. vychisl. matematiki / RAN. Sib. otd-nie. — Novosibirsk, 8:4 (2005), 281–287 | MR

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