Modeliranje sprememb cen delnic z uporabo teorije učinkovitega in teorije fraktalnega trga : delo diplomskega seminarja

Vinter, Maša (author), Orbanić, Alen (mentor), Bernik, Janez (co-mentor)

• Language: Slovenian
• Keywords: matematika, Brownovo gibanje, teorija učinkovitega trga, fraktali, samopodobni procesi, Hurstov eksponent, procesi z dolgoročnim spominom, R/S analiza, teorija fraktalnega trga
• Work type: Final seminar paper
• Typology: 2.11 - Undergraduate Thesis
• Organization: FMF - Faculty of Mathematics and Physics
• Place of publishing: Ljubljana
• Publisher: [M. Vinter]
• Year: 2016
• Number of pages: 25 str.
• PID: 20.500.12556/RUL-96982
• UDC: 519.2
• COBISS.SI-ID: 17962585
• Publication date in RUL: 18.10.2017

Secondary language

• Language: English
• Title: Modelling stock prices using efficient market hypothesis and fractal market hypothesis

Abstract

• Keywords: mathematics, Brownian motion, efficient market hypothesis, fractals, self-similar processes, Hurst exponent, long-memory processes, R/S analysis, fractal market hypothesis