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

Shchestyuk, Nataliia2017-06-142017-06-142016Shchestyuk 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.https://ekmair.ukma.edu.ua/handle/123456789/11579In 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.enEfficient Market Hypothesis (EMH)probability theoryStudent-like models for risky asset and concept of fractal marketPreprint