{"title":"乌克兰股票市场随机趋势的估计","authors":"M. Iurchenko, O. Rozhenko, Vytautas Juščius","doi":"10.25115/sae.v41i1.8904","DOIUrl":null,"url":null,"abstract":"The paper presents a new approach for price dynamic assessment on the Ukrainian stock market based on a qualitative modification of the Black-Scholes-Merton model for estimating unknown parameters with a stochastic trend. The mean-reverting Ornstein-Uhlenbeck process was chosen as the time-dependent trend parameter since it is both mathematically convenient and has a natural economic interpretation. In order to estimate the parameters of the corresponding stochastic diffusion, the trajectory-fitting technique based on the Kalman-Bucy filter was used. The proposed approach was then tested on UX-index assets.","PeriodicalId":210068,"journal":{"name":"Studies of Applied Economics","volume":null,"pages":null},"PeriodicalIF":0.0000,"publicationDate":"2023-01-12","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Estimation of Stochastic Trend on Ukrainian Stock Market\",\"authors\":\"M. Iurchenko, O. Rozhenko, Vytautas Juščius\",\"doi\":\"10.25115/sae.v41i1.8904\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The paper presents a new approach for price dynamic assessment on the Ukrainian stock market based on a qualitative modification of the Black-Scholes-Merton model for estimating unknown parameters with a stochastic trend. The mean-reverting Ornstein-Uhlenbeck process was chosen as the time-dependent trend parameter since it is both mathematically convenient and has a natural economic interpretation. In order to estimate the parameters of the corresponding stochastic diffusion, the trajectory-fitting technique based on the Kalman-Bucy filter was used. The proposed approach was then tested on UX-index assets.\",\"PeriodicalId\":210068,\"journal\":{\"name\":\"Studies of Applied Economics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2023-01-12\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Studies of Applied Economics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.25115/sae.v41i1.8904\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Studies of Applied Economics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.25115/sae.v41i1.8904","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Estimation of Stochastic Trend on Ukrainian Stock Market
The paper presents a new approach for price dynamic assessment on the Ukrainian stock market based on a qualitative modification of the Black-Scholes-Merton model for estimating unknown parameters with a stochastic trend. The mean-reverting Ornstein-Uhlenbeck process was chosen as the time-dependent trend parameter since it is both mathematically convenient and has a natural economic interpretation. In order to estimate the parameters of the corresponding stochastic diffusion, the trajectory-fitting technique based on the Kalman-Bucy filter was used. The proposed approach was then tested on UX-index assets.
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