Analysis of financial risk in the stock market: Pricing modeling of Kazakhmys shares(2007–2014)

Author

Dariyash, Kurenkeyeva ; Shnara, Amangaliyeva ; Gulmira, Nussipbekova ; Abay, Nussipbekov

Author_Institution

Dept. of IS&MM, Int. Inf. Technol. Univ., Almaty, Kazakhstan

fYear

2014

fDate

15-17 Oct. 2014

Firstpage

1

Lastpage

3

Abstract

This work examines the time series of the daily prices on the shares of "Kazakhmys" for the last 7 years. The main novelty of this work is that using existing methods we develop our own model for analyzing financial risks for Kazakhstan market. Due to the emerging large gains and losses for the given period, the histogram on the density of price allocation on assets shows "heavy tail". The stochastic volatility model was chosen for investigation of the changes in the period of log-income by the Euler\´s stochastic method. Parameters of differential equation are characteristic of statistic time series.

Keywords

differential equations; pricing; risk analysis; stock markets; time series; Euler stochastic method; Kazakhmys shares; differential equation; financial risk analysis; histogram; price allocation density; pricing modeling; statistic time series; stochastic volatility model; Computational modeling; Educational institutions; Mathematical model; Portfolios; Pricing; Stochastic processes; Stock markets; Black-Sholes model; Brownian motion; Stochastic differential equation; Wiener process; volatility;

fLanguage

English

Publisher

ieee

Conference_Titel

Application of Information and Communication Technologies (AICT), 2014 IEEE 8th International Conference on

Conference_Location

Astana

Print_ISBN

978-1-4799-4120-9

Type

conf

DOI

10.1109/ICAICT.2014.7035979

Filename

7035979