The Genesis of Uncertainty: Structural Analysis of Stochastic Chaos in Finance Markets

A. Musaev, A. Makshanov, D. Grigoriev
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引用次数: 1

Abstract

The presented article is methodological in nature and is devoted to the analysis of observation series of financial asset quotation changes in capital markets. The most important feature of these processes is their instability, which manifests itself in high sensitivity to seemingly minor disturbing factors. This phenomenon is well-studied in the theory of nonlinear dynamical systems and is described by models of deterministic chaos. However, for the processes considered in the article, the dynamic instability of the immersion environment is exacerbated by stochastic uncertainty caused by random fluctuations in the pricing process. As a result, describing observation series of quotations of financial assets is difficult because it involves stochastic chaos. This article analyzes and classifies chaotic series of observations to help model and forecast related processes.
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不确定性的起源:金融市场随机混沌的结构分析
本文是一篇方法论的文章,主要对资本市场金融资产报价变化的观察序列进行分析。这些过程最重要的特征是它们的不稳定性,这表现为对看似微小的干扰因素的高度敏感性。这种现象在非线性动力系统理论中得到了很好的研究,并由确定性混沌模型来描述。然而,对于本文所考虑的过程,由于定价过程的随机波动引起的随机不确定性加剧了浸入环境的动态不稳定性。因此,金融资产报价的观察序列由于涉及到随机混沌,描述起来比较困难。本文对混沌观测序列进行分析和分类,以帮助建模和预测相关过程。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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