Authors:

Yevgeny V. STRELNIKOV Cand. Sc. (Econ.), Associate Professor of Financial Markets and Banking Dept.

Abstract:

The purpose of the paper is to study methodological problems of the modelling of the financial market. The author classifies various types of models that are typical of different economic subjects and diverse states of the functioning environment of the financial market’s segments. Two groups of methods for modelling the financial market are distinguished: the first one is based on the study of VaR, and the second one is associated with the construction of the Wiener process. The models under consideration were organized into two subgroups: the ones based on the methodology of historical simulations and those based on the behavioural analysis of financial asset prices when modelling the level of the market volatility. The author concludes that differentiation of methodological peculiarities of the financial market modelling will allow applying new methods for forecasting the situation in the financial market and its segments

Keywords:

RISK, FINANCIAL RISK, BROWNIAN MOTION, HISTORICAL SIMULATION, FINANCIAL MARKET INSTABILITY

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For citation: Yevgeny V. Strelnikov. On the Modelling of Financial Markets. Upravlenets – The Manager, 2017, no. 1(65), pp. 54–59.