Informatics and Applications

2022, Volume 16, Issue 3, pp 16-25

SOME RESULTS OF THE ANALYSIS OF THE PROCESS OF CHANGING THE PRICE OF A DUAL CURRENCY BASKET BASED ON RANDOM PROCESS STATISTICS METHODS

  • P. V. Shnurkov
  • M. A. Migulya

Abstract

The work is devoted to the study of the process of changing the price of the so-called dual-currency basket in the foreign exchange market of the Russian Federation in the presence of interventions carried out by the Central Bank. The main goal of the work is to verify the compliance of the observed process with a stochastic Markov model with discrete time and a discrete set of states. The theoretical basis of the study is the methods of statistics of Markov random processes. As a result, conditions are established under which the real process can be adequately described by the indicated Markov model.

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