On the Applicability of the Random Walk Model with Stable Steps for Forecasting the Dynamics of Prices of Financial Tools in the Russian Market
- Autores: Tregub I.V.1
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Afiliações:
- Financial University under the Government of the Russian Federation
- Edição: Volume 216, Nº 5 (2016)
- Páginas: 716-721
- Seção: Article
- URL: https://ogarev-online.ru/1072-3374/article/view/237906
- DOI: https://doi.org/10.1007/s10958-016-2933-8
- ID: 237906
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Resumo
The work is devoted to the study of the dynamics of prices of exchange instruments using the random walk model and stable distributions with infinite variance of price changes. This allows one to significantly improve the predictive quality of the simulation model.
Sobre autores
I. Tregub
Financial University under the Government of the Russian Federation
Email: Jade.Santos@springer.com
Rússia, Moscow
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