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Conference publicationsModelling the Dynamics of Price Fluctuations at Russian Stock Market"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. |