RUS  ENG
Full version
JOURNALS // Informatics and Automation // Archive

Tr. SPIIRAN, 2011 Issue 17, Pages 5–32 (Mi trspy429)

This article is cited in 1 paper

Modeling of trading assets quotations

A. A. Musaev

St. Petersburg Institute for Informatics and Automation of RAS

Abstract: The problem of the modeling of trading assets quoted at the currency markets, shares etc. is considered. The historical review of quotations’ process models evolution is presented. Critical analysis of the basic approaches in the decision of the given problem is carried out. Numerical researches specifying structure of price formation process are presented.

Keywords: quotations of actives, modeling, non-stationary process, chaotic process.

UDC: 62-501.12

Received: 28.03.2011
Accepted: 29.09.2011



© Steklov Math. Inst. of RAS, 2024