Estimation of the parameters of the Samuelson model of variation of the price using the «Japanese candlesticks»
The estimates are considered and studied of the trend and volatility of the financial asset price in the Samuelson model of price variation using the prices of opening and close, as well as the maximum and minimum price during the trade session.
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Authors
| Name | Organization | |
| Valeyev Rustam T. | Tomsk State University | rustam76@mail.ru |
| Terpugov Alexandr F. | Tomsk State University | terpugov@fpmk.tsu.tomsk.su |
References
S. Nison. Japanese candlestick charting techniques // New York: Institute of Finance, 1991. 315 p.
S. Nison. Beyond candlesticks // New York: John Wiley, 1994.280 p.
Валеев P.Т., Терпугов А.Ф. I/ Изв. вузов. Физика. 2000. № 4.
Ширяев А.Н. Основы стохастической финансовой математики. Том I. Факты и модели. М.: Фазис, 1998.489 с.
