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Student-like models for risky asset and concept of fractal market

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dc.contributor.author Shchestyuk, Nataliia
dc.date.accessioned 2017-06-14T14:44:40Z
dc.date.available 2017-06-14T14:44:40Z
dc.date.issued 2016
dc.identifier.citation Shchestyuk N. Yu. Student-like models for risky asset and concept of fractal market / Shchestyuk N. // Problems of Decision Making Under Uncertainties : PDMU-2016 XXVII International Conference : dedicated to 70-th anniversary of Professor Oleksandr Nakonechnyi (May 23-27, 2016). - Tbilisi-Batumi, Georgia, 2016. - P. 146-147. en_US
dc.identifier.uri http://ekmair.ukma.edu.ua/handle/123456789/11579
dc.description.abstract In this paper we present alternative to GBM that incorporates the Student-like distribution of the returns. This model gives asset prices as GBM but is driven by some nondecreasing stochastic "activity time" (or "fractal time") process. en_US
dc.language.iso en en_US
dc.subject Efficient Market Hypothesis (EMH) en_US
dc.subject probability theory en_US
dc.title Student-like models for risky asset and concept of fractal market en_US
dc.type Preprint en_US
dc.status published earlier en_US
dc.relation.source Problems of Decision Making Under Uncertainties: PDMU-2016 XXVII International Conference: dedicated to 70-th anniversary of Professor Oleksandr Nakonechnyi (May 23-27, 2016) en_US


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