Parameter optimization for differential equations in asset price forecasting

DOI10.1080/10556780801996178zbMath1151.91716DBLPjournals/oms/DuranC08OpenAlexW3124342703WikidataQ59444594 ScholiaQ59444594MaRDI QIDQ5503692

Gunduz Caginalp, Ahmet Duran

Publication date: 16 January 2009

Published in: Optimization Methods and Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10556780801996178

zbMATH Keywords

asset flow differential equationsfinancial market dynamicsinverse problem of parameter estimationdata analysis in mathematical finance and economicsmarket return prediction algorithmnumerical nonlinear optimization

Mathematics Subject Classification ID

Economic time series analysis (91B84) Nonlinear programming (90C30) Statistical methods; economic indices and measures (91B82) Dynamical systems in optimization and economics (37N40)

Related Items (3)

Stability analysis of asset flow differential equations ⋮ Asset flow model for a homogeneous group of investors: high-frequency trading limit ⋮ Sensitivity Analysis of Asset Flow Differential Equations and Volatility Comparison of Two Related Variables

Uses Software

• ODESSA
• CVODES

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