Student-like models for risky asset and concept of fractal market
| 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.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.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 | https://ekmair.ukma.edu.ua/handle/123456789/11579 | |
| dc.language.iso | en | 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 |
| dc.status | published earlier | 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 |