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

dc.contributor.authorShchestyuk, Nataliia
dc.date.accessioned2017-06-14T14:44:40Z
dc.date.available2017-06-14T14:44:40Z
dc.date.issued2016
dc.description.abstractIn 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.identifier.citationShchestyuk 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.urihttps://ekmair.ukma.edu.ua/handle/123456789/11579
dc.language.isoenen_US
dc.relation.sourceProblems 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
dc.statuspublished earlieren_US
dc.subjectEfficient Market Hypothesis (EMH)en_US
dc.subjectprobability theoryen_US
dc.titleStudent-like models for risky asset and concept of fractal marketen_US
dc.typePreprinten_US
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