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Regular version of the site

Book chapter

Markov Chains in Modelling of the Russian Financial Market

P. 233-251.
Bautin G. A., Kalyagin V. A.

 

We use a Markov chains models for the analysis of Russian stock market. First problem studied in the paper is the multiperiod portfolio optimization. We show that known approaches applied for the Russian stock market produce the phenomena of non stability and propose a new methods in order to smooth it. The second problem addressed in the paper is a structural changes on the Russian stock market after the financial crisis of 2008.We propose a hidden Markov chains model to analyse a structural changes and apply it for the Russian stock market.

In book

Markov Chains in Modelling of the Russian Financial Market
Iss. 70. NY; Heidelberg; Dordrecht; L.: Springer, 2012.