Русский
!

Conference publications

Modelling the Dynamics of Price Fluctuations at Russian Stock Market

Paramonov A. V., Shchetinin Ye. Yu.

"Математика. Компьютер. Образование". Cб. трудов XV международной конференции. Под общей редакцией Г.Ю. Ризниченко Ижевск: Научно-издательский центр "Регулярная и хаотическая динамика", 2008. Vol. 1, 302pp. Pp. 190-195. (accepted)

The price fluctuations at Russian stock market are described by a number of empirical effects or “stylized facts”. We perform a quantitative characterization of some of these effects, and propose a model of the underlying stochastic process based on nonlinear Fokker-Planck equation. We show how the model can be applied for short-term forecast of stock prices and market index values.



© 2004 Designed by Lyceum of Informational Technologies №1533