Modeling of the Liquidity Evaluation on Stock Markets

Abstract

In the article the technology of securities rating creation is worked out. The peculiarities of this technology are fuzzy classification of particular liquidity indices, their subsets picking out and joint significance calculation. These peculiarities allow smoothing of extreme values influence in the generalized rating. The rating model is based on the multicriteria analysis by means of Choquet integral calculation. Method of such analysis is adapted to economic informatics processing. A numeric example of share rating creation with using of Belarus stock market data is represented.