МОДЕЛЬ ФІНАНСОВИХ ДАНИХ ЯК ІНТЕГРАЛ ВІД ДИФУЗІЙНОГО ПРОЦЕСУ
The model of financial data as integral of diffusion process is proposed. The covariance function and one-dimensional distribution of the model have been examined, estimates for the model parameters have been built and prediction problem for the specialcase has been solved. Two examples of financial...
Збережено в:
| Дата: | 2025 |
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| Автор: | |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
V.M. Glushkov Institute of Cybernetics of NAS of Ukraine
2025
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| Онлайн доступ: | https://jais.net.ua/index.php/files/article/view/604 |
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| Назва журналу: | Problems of Control and Informatics |
Репозитарії
Problems of Control and Informatics| Резюме: | The model of financial data as integral of diffusion process is proposed. The covariance function and one-dimensional distribution of the model have been examined, estimates for the model parameters have been built and prediction problem for the specialcase has been solved. Two examples of financial data prove the adequacy of the proposed model. |
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