Title :
One model of risky asset price evolution described by Gaussian martingale
Author :
Glonti, O. ; Khechinashvili, Z.
Author_Institution :
I. Javakhishvili Tbilisi State Univ., Tbilisi, Georgia
Abstract :
We propose a model of stock price evolution with Gaussian martingale, investigate it´s properties and consider the problem of optimal in mean square sense forecasting for this model.
Keywords :
Gaussian processes; economic forecasting; mean square error methods; pricing; stock markets; Gaussian martingale; mean square sense forecasting; risky asset price evolution; stock price evolution; Gaussian martingale; Risky asset modeling; forecasting;
Conference_Titel :
Problems of Cybernetics and Informatics (PCI), 2012 IV International Conference
Conference_Location :
Baku
Print_ISBN :
978-1-4673-4500-2
DOI :
10.1109/ICPCI.2012.6486410
