C&SA | Contents

Volume 56 >>> № 4 JULY — AUGUST 2020

UDC 330. 4:519. 622. 1:51-77

V.S. Sazheniuk¹, G.O. Chornous², Iu.A. Iarmolenko³

¹ Taras Shevchenko National University of Kyiv, Kyiv, Ukraine

vssag@ukr.net

² Taras Shevchenko National University of Kyiv, Kyiv, Ukraine

gach2012@gmail.com

³ Taras Shevchenko National University of Kyiv, Kyiv, Ukraine

yu.yarmolenko@gmail.com

INFORMATION MODEL FOR PRICING ON ELECTRONIC MARKETS

Abstract. The research is focused on the development of an approach to modeling and forecasting a market good prices based on information changes. The process is described by first order differential equations, and the solution of a corresponding Cauchy problem made it possible to develop an information pricing model. The proposed model is shown to be useful both for predicting asset prices on the stock and currency exchanges, and on commodity electronic markets. Data preparation stage before modeling is presented too.

Keywords: information, Cauchy problem, penalization method, difference scheme, information factor, pricing model, price forecasting.

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