Statistična primerjava gibanja znotrajdnevnih borznih tečajev s simuliranimi po modelu geometrijskega Brownovega gibanja : magistrsko delo

Pirnat, Matej (author), Bernik, Janez (mentor)

• 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
• Typology: 2.09 - Master's Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [M. Pirnat]
• Year: 2014
• Number of pages: 48 str.
• PID: 20.500.12556/RUL-96836
• UDC: 519.2
• COBISS.SI-ID: 17206361
• Publication date in RUL: 16.10.2017

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