Tagged Questions
3
votes
0answers
102 views
Is it random walk?
I would like to ask a question about random walk. Campbell, Lo & Mackinlay defined the random walk, in the following way (RW3):
$$
cov[f(r_{t}),g(r_{t+k})]=0,\qquad k\neq0
$$
for all $f(\cdot)$ ...
2
votes
0answers
82 views
Difference between kappa and delta in mixed-effects model
(This question is a crosspost from Cross Validated)
I have a following stochastic model describing evolution of a process (Y) in space and time. Ds and Dt are domain in space (2D with x and y axes) ...
8
votes
3answers
381 views
How to test for and how to simulate price rise/fall asymmetry in the stock market
One of the stylized facts of financial time series seems to be a fundamental asymmetry between smooth upward movements over longer periods of time followed by abrupt declines over relatively shorter ...
