On the applicability of the random walk model with stable steps for forecasting the dynamics of prices of financial tools in the Russian market

DOI10.1007/S10958-016-2933-8zbMath1415.91293OpenAlexW2438040392MaRDI QIDQ308594

I. V. Tregub

Publication date: 6 September 2016

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-016-2933-8

zbMATH Keywords

random walkforecastingprices of financial tools

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Sums of independent random variables; random walks (60G50) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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• On the Chambers-Mallows-Stuck method for simulating skewed stable random variables
• Metrics for multivariate stable distributions
• Simple consistent estimators of stable distribution parameters

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