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Title: | Testiranje konzistentnosti vremenski homogenih markovljevskih modela za cene akcija sa konkretnim podacima | Other Titles: | Testing consistency of time-homogeneous Markovian stock price models on real data | Authors: | Božin, Vladimir Lekić, V. Milošević, Bojana Obradović, Marko |
Affiliations: | Real and Complex Analysis Probability and Mathematical Statistics Probability and Mathematical Statistics |
Keywords: | modeling;stochastic processes;option pricing;financial modeling | Rank: | M63 | Publisher: | Beograd : Saobraćajni fakultet | Related Publication(s): | XLI Simpozijum o operacionim istraživanjima-SYM-OP-IS 2014 : zbornik radova | Conference: | Simpozijum o operacionim istraživanjima-SYM-OP-IS(41 ; 2014 ; DIvčibare) | Abstract: | U ovom radu na osnovu goog podataka za cene opcija izvršena je analiza, kako bi se utvrdilo da li su oni u skladu sa vremenski homogenim Markovljevskim modelom za cene akcija na berzi. Rezultati su pokazali da to nije slucaj i da očekivana stepena veza izmedju modula karakterističnih funkcija ne važi. In this paper, based on data for goog option prices, analysis was performed in order to determine whether they are consistent with time-homogeneous Markov model for the price of shares on the stock exchange. The results showed that this was not the case and that the expected power law connecting modules of characteristic functions does not hold. |
URI: | https://research.matf.bg.ac.rs/handle/123456789/1903 |
Appears in Collections: | Research outputs |
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