Stochastic model of dynamic relative increments stock price
In this paper, the process of relative increment of stock price is considered. The process isdescribed using the generalized Ito equation. Stochastic dynamics was described with Lukoilstock prices during the period of 18.04.2008 up to 17.04.2009, with intervals = 1 min, 5 min,10 min, 15 min, 30 min, and 60 min.
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Keywords
Markov process, Wiener process, relative increments, volatility, Stochastic process, drift, марковский процесс, виннеровский процесс, относительные приращения, коэффициент сноса, волатильность, стохастический процессAuthors
| Name | Organization | |
| Tryasuchev Petr Vladimirovich | Tomsk Polytechnic University | pet3001@yandex.ru |
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