Modern approach to modeling of efficiency of financial market based on methods of dynamic programming

Abstract

Note that any process of financial assets' distribution in the financial market is managed, and classic models of financial market efficiency research are not adapted to the managed behavior of any structure within the operation and decision-making processes regarding their expediency (based on prospective efficiency) can be divided into stages. This makes it necessary to turn to dynamic programming models, which are deprived of the disadvantages of classical models. Therefore, the research is oriented toward forming a modern approach to modeling of efficiency of the financial market based on methods of dynamic programming. Within the framework of the study, it is proved that among the processes of financial market efficiency modeling, there is a systematic combination of steps to be taken to study the process of distribution of financial resources between assets and sources for investments. The study concluded that the F k (X) function and its recursive ratio which reflects possible transformations in the efficiency of operations (recursion) with financial assets, achieved from a specific F k (X), were used to construct the financial market model. The attention actualized on the fact that if F k (X) functions are given statistically, their recurrent ratio can be formed according to the procedures of direct and inverse run to the achievement of values corresponding to the principle of Bellman's optimality. In the study of the distribution of funds, it assumed that: Efficiency F k (X) does not depend on investments into other sources of investment; efficiency from each source of investment is calculated in absolute units of measure; the efficiency of the total investment is equal to the sum of results (profit) received from each investment. The prospects of further research are connected with a developed approach to modeling the financial market efficiency based on dynamic programming methods as one of the tools to ensure further reform and development of the financial sector of Ukraine by the leading international practices and implementation of measures, provided by the Association Agreement between Ukraine and the EU and other international obligations of Ukraine.