Informatics and Applications
2022, Volume 16, Issue 3, pp 16-25
SOME RESULTS OF THE ANALYSIS OF THE PROCESS OF CHANGING THE PRICE OF A DUAL CURRENCY BASKET BASED ON RANDOM PROCESS STATISTICS METHODS
- P. V. Shnurkov
- M. A. Migulya
Abstract
The work is devoted to the study of the process of changing the price of the so-called dual-currency basket in the foreign exchange market of the Russian Federation in the presence of interventions carried out by the Central Bank. The main goal of the work is to verify the compliance of the observed process with a stochastic Markov model with discrete time and a discrete set of states. The theoretical basis of the study is the methods of statistics of Markov random processes. As a result, conditions are established under which the real process can be adequately described by the indicated Markov model.
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[+] About this article
Title
SOME RESULTS OF THE ANALYSIS OF THE PROCESS OF CHANGING THE PRICE OF A DUAL CURRENCY BASKET BASED ON RANDOM PROCESS STATISTICS METHODS
Journal
Informatics and Applications
2022, Volume 16, Issue 3, pp 16-25
Cover Date
2022-10-10
DOI
10.14357/19922264220303
Print ISSN
1992-2264
Publisher
Institute of Informatics Problems, Russian Academy of Sciences
Additional Links
Key words
Markov chain with discrete time and discrete set of states; statistics of Markov random processes; stochastic models of the evolution of processes in financial markets; stochastic models of interventions; price of a dual-currency basket
Authors
P. V. Shnurkov  and M. A. Migulya
Author Affiliations
National Research University Higher School of Economics, 34 Tallinskaya Str., Moscow 123458, Russian Federation
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