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Parameter estimation for a price series model by solving a linear SDE with a Poisson component |
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| Authors: | T A Averina M A Yakunin |
| 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 model of a series of price increments with jumps is constructed based on a linear stochastic differential equation with a Poisson component. Some estimates of unknown parameters of the model and SDE are obtained by using the method of moments. A statistical simulation algorithm for solving an SDE with a Poisson component in general form is proposed. Results of numerical experiments are given. |
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