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Questions tagged [random-walk]

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Optimal mortgage rate strategy

When buying a mortgage, you can choose to "lock in" a rate at any point within 60 days of your closing date. Once locked in, you can't revert. This makes it a secretary problem - in the traditional ...
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0answers
194 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 $f(\cdot)$ ...
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0answers
64 views

Rare Events in Normal Multivariate distributions

I don't work in finance, but I've stumbled upon a problem that you guys may have to deal with in your jobs. My problem is a random walk in high dim spaces ( > 100), in which I'm looking for vectors ...
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0answers
71 views

Modelling turnovers with a random walk. Is it right?

I need to analyse a bunch of weekly time series that reflect the turnovers of various companies. I already read that return rates or share prices show stochastic patterns that can be modelled by a ...
1
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0answers
40 views

Does the time between prices created from a GBM affect the estimation of parameters of the GBM?

Recently I created a simulation of a GBM. The time between the prices were sampled from an exponential distribution. The log rate of return was sampled from $\sigma \sqrt { { t }_{ i }-{ t }_{ i-1 } } ...
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2answers
157 views

Efficient market hypothesis vs random walk

I am having trouble to understand the distinction between the EMH and random walks. If I understand correctly, the EMH states that all available information is incorporated into prices, which ...
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0answers
2k views

Correlated assets in Monte Carlo simulation

I'm trying to simulate $N$ correlated assets in Excel in order to estimate a basket option price. For 2 assets, I correlated the two random variables $X_1$ and $X_2$ and then simulate the ...
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0answers
26 views

Random Walk choosing constant $g$

I am looking at a stock, say stock X and I am simulating it by a random walk. It is only simulated once every month, where $t$ represents the month. I am letting $S_0$ represent the value of the stock ...