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Journal Nonlinear World №8 for 2010 г.
Article in number:
Stochastic Analysis of Complex Dynamic Systems Forex Market
Keywords: Forex market stochastic analysis market fluctuations
Authors:
A.M. Avdeenko
Abstract:
Evolution of the Forex market exchange rate may be described with the use of non-local generalization of the Ito-Stratonovich equation.We have considered the model constant generation algorithm using stochastic analysis of the «tuning» sequence.Basing on the model we built the most probable Forex market trajectory and fluctuation statistics in its vicinity in one-currency approximation («short» forecasts).Experimental results confirmed correctness of the offered analysis.
Pages: 509-514
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