Reachable Sets of Dynamic Systems

Chapter Four: Uncertainty in stock markets

Abstract

Stock market dynamics strongly depends on human factors that introduce uncertain elements. The problem of uncertainty is formulated here in a deterministic way, using differential inclusions as the main modeling tool. This provides reachable sets for the model trajectories, including the possible extreme values of the stock demand and price. The results of several computational experiments are shown, where the uncertainty consists in erroneous or false information about the actual demand. It is pointed out that when treating the uncertain parameters as random, we cannot obtain the real shape of the model's reachable set. Instead, our approach is deterministic and provides the reachable sets for ...