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Stock exchange modeling with a price model involving variable variance and correlation coefficients |
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| Authors: | S S Artemiev A S Villius A N Voinov |
| Institution: | 1. Institute of Computational Mathematics and Mathematical Geophysics, Siberian Branch, Russian Academy of Sciences, pr. Akad. Lavrent’eva 6, Novosibirsk, 630090, Russia 2. Novosibirsk State University, ul. Pirogova 2, Novosibirsk, 630090, Russia |
| Abstract: | A price model with 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 on a computer using an INVERT program. |
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