Estimation of Stochastic Trend on Ukrainian Stock Market

• Maryna Iurchenko ^[1] ; Oleksandra Rozhenko ^[1] ; Vytautas Juscius ^[1]
  1. [1] Klaipėda University

     Klaipėda University

     Lituania

     
• Localización: Estudios de economía aplicada, ISSN 1133-3197, ISSN-e 1697-5731, Vol. 41, Nº 1, 2023 (Ejemplar dedicado a: Ciencia de datos para la Economía Aplicada)
• Idioma: español
• Texto completo no disponible (Saber más ...)
• Resumen

  • 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.