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Results tagged with stochastic-processes
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user 3491
stochastic processes is a collection of random variables representing the evolution of some system of random values over time.
3
votes
How to simulate stock prices using variance gamma process?
This paper seems to outline what you are looking for. You want to be careful about mean/variance/kurtosis to make sure you are working in the correct measure.
- 1,202
6
votes
Why should we expect geometric Brownian motion to model asset prices?
Brownian motion - because it is simple, and results in intuitive closed form solutions, and it's not a terrible description of asset prices, especially when employed in high-frequency event time.
G …
- 1,202
1
vote
Modelling EUR/USD with Ornstein-Uhlenbeck + jumps?
Try modelling samples every 20,000 ticks, instead of 2 hours (or any such number like that). Markets are often less fat tailed in terms of the trade- or volume-clock. See http://www.amazon.ca/Introd …
- 1,202