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Modelling the Probability Distribution of Stock Price Changes. Financial Time Series

Автор:   M. F. O.
мягкая обложка
140 страниц
2010 год
Издательство:   Книга по Требованию
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2277 руб
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Описание:The thesis also considers other important aspects of modelling financial time series such as volume-volatility relationship, financial leverage effect, seasonality, and non normal probability distributions. Models that use long time series of financial data should be used carefully so that periods of crises do not affect the inference about the financial variables relationship. The major argument of the thesis is that the assumption of stationary financial relationships is only valid in the short term. The book borrows models that were uniquely applied to forecast averages in time series analysis and applied them to the volatility of stock price changes. The book is a survey of major probability models of interest to academics and practitioners working in finance modelling. Intervention analysis of major world crises such as the oil crises of 1973-1974 and the market crash of the 1987 indicate that volatility responds differently to each crisis in terms of the impact and the lasting effect.


Orthomol Immun Junior Сила иммунитета на страже Вашего ребенка Orthomol Immun Junior Сила иммунитета на страже Вашего ребенка

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What the Dog Saw: And Other Adventures

Physical events, whether death rates or poker games, are the predictable function of a limited and stable set of factors, and tend to follow what statisticians call a normal distribution, a bell curve. But do the ups and downs of the market follow a bell curve? The economist Eugene Fama once studied stock prices and pointed out that if they followed a normal distribution, youБЂ™d expect a really big jump, what he specified as a movement five standard deviations from the mean, once every seven thousand years. In fact, jumps of that magnitude happen in the stock market every three or four years, because investors donБЂ™t behave with any kind of statistical orderliness. They change their mind. They do stupid things. They copy one another. They panic. Fama concluded that if you charted the ups and downs of the stock market, the graph would have a БЂњfat tail,БЂ« meaning that at the upper and lower ends of the distribution there would be many more outlying events than statisticians used to modeling the physical world would have imagined ...»

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