Student-like models for risky asset and concept of fractal market
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Date
2016
Authors
Shchestyuk, Nataliia
Journal Title
Journal ISSN
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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.
Description
Keywords
Efficient Market Hypothesis (EMH), probability theory
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.