On the parameters identification in models of assets dynamics

Authors

  • Fedir Garashchenko Complex Systems Modeling Department of Cybernetics Faculty of Kiev National Taras Shevchenko University, Ukraine
  • Victor Kulyan Complex Systems Modeling Department of Cybernetics Faculty of Kiev National Taras Shevchenko University, Ukraine
  • Olena Iunkova Complex Systems Modeling Department of Cybernetics Faculty of Kiev National Taras Shevchenko University, Ukraine

Abstract

The problem of identification of parameters of mathematical models of dynamic processes is considered that can be described by ordinary differential equations and systems of such equations. Using an example of mathematical models of dynamic formation of the market value per share and stock portfolio, algorithms were developed for constructing the optimal values of parameters of such models. The algorithms for parametric identification and optimization are based on iterative procedures that allow, at each step, to obtain "the best" values of model’s parameters based on selected quality criteria. Guaranteed parameters’ estimations are built in the class of ellipsoidal sets that allows to obtain the guaranteed financial performance of investment operations using the mathematical problems of the financial analysis as an example.

Author Biographies

Fedir Garashchenko, Complex Systems Modeling Department of Cybernetics Faculty of Kiev National Taras Shevchenko University

Garashchenko Fedir, Professor, Doctor of Engineering Sciences, Head of Complex Systems Modeling Department of CyberneticsFaculty of Kiev National Taras Shevchenko University, Kiyiv.

Victor Kulyan, Complex Systems Modeling Department of Cybernetics Faculty of Kiev National Taras Shevchenko University

Kulyan Victor, Docent, Ph.D., Lecturer of Complex Systems Modeling Department of CyberneticsFaculty of Kiev National Taras Shevchenko University, Kiyiv.

Olena Iunkova, Complex Systems Modeling Department of Cybernetics Faculty of Kiev National Taras Shevchenko University

Iunkova Olena, Docent, Ph.D., Lecturer of Eeconomic - Mathematical Modeling Department of Information Systems and TechnologyFaculty of Kiev National Vadim GetmanUniversity, Kiyiv.

References

Garashchenko F.G., Kulyan V.R., Rutitskaya V.V. Modelirovaniye i analiz dinamiki investitsiy // Problemy upravleniya i informatiki. – 2001. – № 6. – S.109–119.

Garashchenko F.H., Kulyan V.R., Rutyts'ka V.V. Zastosuvannya metodiv praktychnoyi stiykosti dlya rozv"yazuvannya zadach investytsiynoho menedzhmentu // Visnyk Kyyivs'koho universytetu. Seriya: fizyko-matematychni nauky. – 2005. – # 3. – S. 232–239.

Garashchenko F., Kulian V., Rutitskaya V. Modelling and Analysis of Investment Trends // Journal of Automation and Information. – 2011. – 43, issue 12. – P. 8–58.

Downloads

Published

2015-09-30

Issue

No. 3 (2015)

Section

Decision making and control in economic, technical, ecological and social systems

License

This is an open access journal which means that all content is freely available without charge to the user or his/her institution. Users are allowed to read, download, copy, distribute, print, search, or link to the full texts of the articles in this journal without asking prior permission from the publisher or the author. This is in accordance with the BOAI definition of open access.