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Journal of Mathematical Sciences

, Volume 216, Issue 5, pp 716–721 | Cite as

On the Applicability of the Random Walk Model with Stable Steps for Forecasting the Dynamics of Prices of Financial Tools in the Russian Market

  • I. V. Tregub
Article

Abstract

The work is devoted to the study of the dynamics of prices of exchange instruments using the random walk model and stable distributions with infinite variance of price changes. This allows one to significantly improve the predictive quality of the simulation model.

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Copyright information

© Springer Science+Business Media New York 2016

Authors and Affiliations

  • I. V. Tregub
    • 1
  1. 1.Financial University under the Government of the Russian FederationMoscowRussia

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