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JOURNALS // Sibirskii Zhurnal Vychislitel'noi Matematiki // Archive

Sib. Zh. Vychisl. Mat., 2008 Volume 11, Number 1, Pages 19–28 (Mi sjvm30)

Stock exchange modeling with a price model involving variable variance and correlation coefficients

S. S. Artem'evab, A. S. Villiusb, A. N. Voinovb

a Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences
b Novosibirsk State University

Abstract: 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.

Key words: parametric analysis, trade algorithm, Monte Carlo method, profitability, risk.

UDC: 519.24+519.86

Received: 17.10.2006


 English version:
Numerical Analysis and Applications, 2008, 1:1, 17–24


© Steklov Math. Inst. of RAS, 2024