Monte Karlo modelis


Akciju kursas momentu $t+1$ nusakomas pagal
aukšciausisia pirkimo kaina momentu $t$
bei zemiausia pardavimo kaina momentu $t$:

\begin{eqnarray}z(t+1)=&=&\nonumber \\ \cases {z(t) +\epsilon(t+1), &if $z^{min}...
...\epsilon(t+1),&if $z(t) \ge z^{max}(t)$.\nonumber\cr}
\nonumber
\end{eqnarray}


Cia

\begin{eqnarray}z^{min}(t)=\max_i \ z_i^{min}(t),
z^{max}(t)=\min_i \ z_i^{max}(t).
\end{eqnarray}




jonas mockus 2004-03-01