АNALYTICAL MATHEMATICAL MODEL FOR INVESTIGATE OF THE DYNAMICS OF THE FINANCIAL MARKET

NICOLAI PETROV
NICOLA ATANASOV
ULIANA PASKALEVA

 

Abstract

This article reviews issues related to the information about and the modeling of the financial markets. The present-day financial markets are characterized by an increasing rick while operating with financial transactions. This provokes our searching for answers to the issues of evaluation and reduction of the most likely possible risk at the circumstances of uncertainty and eventuality of the flux of the prices and the percentile stakes as well as the rational behavior of the markets.
The solution of such issues involves a thorough macro- and micro-stochastic, statistical and dynamical analysis of the market’s indexes and the construction of adequate information and analytical mathematical models for their evolution, probability prognosis, evaluation and potential for management. The probability research of the financial markets requires more careful search into the dangerous risky characteristics and features of the subjects and the players who intentionally or by chance determine the new market’s conditions, prerequisites and possibilities. The main objects of analysis are the information and knowledge.
As a result of the analysis of the theory of the effective markets, this article defines the term fractal market. Its main characteristics are defined and this concept is synthesized. A mathematical model of this market is made as a variety of the B, S, R – market, which accounts for the dynamics of the bank accounts and shares, and the related risk because of financial operations with disloyal clients.

 

Keywords

financial markets, stochastic, statistical and dynamical analysis, mathematical model.

 

References

Black F., M. Scholes. The pricing of options and corporate liabilities, Journal of Political Economy, v. 81, № 3, 1973, pp. 637-639.
Merton R. Theory of rational option pricing. Bell Journal of Economics and Management Science, № 4, 1973, pp. 141-183.
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Гиляровская Л., А. Вехорева. Анализ и оценка финансовой устойчивости коммерческого предприятия. Москва, изд. “Питер”, 2003.
Black F. The holes in Black – Scholes. RISK – magazin, 1988.

 

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