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Statistična primerjava gibanja znotrajdnevnih borznih tečajev s simuliranimi po modelu geometrijskega Brownovega gibanja : magistrsko delo
Pirnat, Matej (Author), Bernik, Janez (Mentor) More about this mentor... This link opens in a new window

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Language:Slovenian
Keywords:geometrijsko Brownovo gibanje, simuliranje časovnih vrst tečajev, model skritih markovskih verig, statistično testiranje, test homogenosti, analiza znotrajdnevnih borznih tečajev, visokofrekvenčni podatki, simulacija števila poslov, terminske pogodbe
Work type:Master's thesis/paper (mb22)
Tipology:2.09 - Master's Thesis
Organization:FMF - Faculty of Mathematics and Physics
Year:2014
Publisher:[M. Pirnat]
Number of pages:48 str.
UDC:519.2
COBISS.SI-ID:17206361 Link is opened in a new window
Views:270
Downloads:193
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Secondary language

Language:English
Title:Statistical comparison of intraday stock price movement with simulations of a geometric Brownian motion
Keywords:geometric Brownian motion, simulation of price movement, hidden Markov chain model, statistical testing, test of homogeneity, intraday quotes analysis, high-frequency data, simulation of trading volume, futures contracts

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