Add to ORKGThis work discusses Brownian motion and its basic transformations. The work describes basic properties of its trajectories and shows that Brownian motion is a martingale and a self-similar process. Next, we discuss time series analysis. We introduce graphical tools for analyzing data and we describe theoretical basics of some normality and independence tests. Finally, we consider the hypothesis that in the short run the price of financial assets can be modelled by Brownian motion. We conduct basic statistical tests on real data using the R progam and we talk through our results
Modeling the stock price development as a geometric Brownian motion or, more generally, as a stochas...
Brownian Motion is one of the most useful tools in the arsenal of stochastic models. This phenomenon...
Title: Martingale measures and pricing of financial derivatives Author: Martin Melicherčík Departmen...
This work discusses Brownian motion and its basic transformations. The work describes basic properti...
This paper argues that asset price processes arising from market clearing conditions should be model...
Modelling the asset returns distribution has been the focal point of modern finance for almost a cen...
This paper investigates whether the assumption of Brownian motion often used to describe commodity p...
In the modeling of financial market, especially stock market, Brownian Motion play a significant rol...
This paper investigates whether the assumption of Brownian motion often used to describe commodity p...
Thesis (Master's)--University of Washington, 2020Trading strategies based on moving average indicato...
verbatim copies of this document for non-commercial purposes by any means, provided that this copyri...
Abstract. A new Lévy motion with both continuous (Brownian) and discontin-uous (Laplace motion) com...
This paper investigates whether the assumption of Brownian motion often used to describe commodity p...
Abstract. Wilfrid Kendall notes on the complexity of the paths of Brownian motion: If you run Browni...
Brownian motion played a central role throughout the twentieth century in probability theory. The sa...
Modeling the stock price development as a geometric Brownian motion or, more generally, as a stochas...
Brownian Motion is one of the most useful tools in the arsenal of stochastic models. This phenomenon...
Title: Martingale measures and pricing of financial derivatives Author: Martin Melicherčík Departmen...
This work discusses Brownian motion and its basic transformations. The work describes basic properti...
This paper argues that asset price processes arising from market clearing conditions should be model...
Modelling the asset returns distribution has been the focal point of modern finance for almost a cen...
This paper investigates whether the assumption of Brownian motion often used to describe commodity p...
In the modeling of financial market, especially stock market, Brownian Motion play a significant rol...
This paper investigates whether the assumption of Brownian motion often used to describe commodity p...
Thesis (Master's)--University of Washington, 2020Trading strategies based on moving average indicato...
verbatim copies of this document for non-commercial purposes by any means, provided that this copyri...
Abstract. A new Lévy motion with both continuous (Brownian) and discontin-uous (Laplace motion) com...
This paper investigates whether the assumption of Brownian motion often used to describe commodity p...
Abstract. Wilfrid Kendall notes on the complexity of the paths of Brownian motion: If you run Browni...
Brownian motion played a central role throughout the twentieth century in probability theory. The sa...
Modeling the stock price development as a geometric Brownian motion or, more generally, as a stochas...
Brownian Motion is one of the most useful tools in the arsenal of stochastic models. This phenomenon...
Title: Martingale measures and pricing of financial derivatives Author: Martin Melicherčík Departmen...