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~subject:"Share price"
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Search: subject:"Brownian motion"
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Share price
Brownian motion
332
Stochastischer Prozess
299
Stochastic process
290
Theorie
175
Theory
166
random processes
147
Optionspreistheorie
145
Option pricing theory
140
noise
133
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126
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120
05.40.-a Fluctuation phenomena
118
fractional Brownian motion
81
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80
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80
geometric Brownian motion
51
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48
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and statistics
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Börsenkurs
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Estimation theory
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Hurst exponent
23
Schätztheorie
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02.50.-r Probability theory
22
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Song, Xiaojing
2
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2
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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1
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Journal of mathematical finance
3
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2
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1
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1
Comparative advantage in the knowledge economy : a national and organizational resource
1
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1
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1
Journal of risk & control
1
Journal of risk and financial management : JRFM
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Market microstructure and liquidity
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School of Economics and Finance discussion paper
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ECONIS (ZBW)
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1
Price index modeling and risk prediction of sharia stocks in Indonesia
Hersugondo
;
Ghozali, Imam
;
Handriani, Eka
;
Trimono, Trimono
- In:
Economies : open access journal
10
(
2022
)
1
,
pp. 1-13
loss risk. This study uses geometric
Brownian
motion
(GBM) and Value at Risk (VaR; with the Monte Carlo Simulation approach …
Persistent link: https://www.econbiz.de/10012800645
Saved in:
2
The value of expected return persistence
Schadner, Wolfgang
;
Lang, Sebastian
- In:
Annals of finance
19
(
2023
)
4
,
pp. 449-476
Persistent link: https://www.econbiz.de/10014448279
Saved in:
3
Comparison of financial models for stock price prediction
Islam, Mohammad Rafiqul
;
Nguyen, Nguyet
- In:
Journal of risk and financial management : JRFM
13
(
2020
)
8/181
,
pp. 1-19
, artificial neural network, and stochastic process-geometric
Brownian
motion
. Each of the methods is used to build predictive …
Persistent link: https://www.econbiz.de/10012321966
Saved in:
4
Volatility modelling and VaR : the case of Bitcoin, Ether and Ripple
Ječmínek, Jakub
;
Kukalová, Gabriela
;
Moravec, Lukáš
- In:
Danube : law and economics review
11
(
2020
)
3
,
pp. 253-269
(given by Geometric
Brownian
Motion
). We conclude that the best method for value-at-risk estimation for cryptocurrencies is …
Persistent link: https://www.econbiz.de/10012309770
Saved in:
5
Volatility behavior of asset returns based on robust volatility ratio : empirical analysis on global stock indices
Shaik, Muneer
;
Maheswaran, S.
- In:
Cogent economics & finance
7
(
2019
)
1
,
pp. 1-27
In this paper we come up with an alternate theoretical proof for the independence and unbiased property of extreme value robust volatility estimator with respect to the standard robust volatility estimator as proposed in the paper by Muneer & Maheswaran (2018b). We show that the robust...
Persistent link: https://www.econbiz.de/10012023869
Saved in:
6
Existence of speculative bubbles in the Indian stock market : knowledge gained during the US subprime crisis
Mukherjee, Sovik
;
Karmakar, Asim K.
- In:
Comparative advantage in the knowledge economy : a …
,
(pp. 75-84)
.
2021
Persistent link: https://www.econbiz.de/10012814053
Saved in:
7
Subtle is the Lord, but malicious He is not : the calculation of abnormal stock returns in applied research
Melia, Adrian
;
Song, Xiaojing
;
Tippett, Mark
- In:
The European journal of finance
25
(
2019
)
9
,
pp. 835-855
Persistent link: https://www.econbiz.de/10012207032
Saved in:
8
Stochastic Ito-Calculus and numerical approximations for asset price forecasting in the Nigerian stock market
Urama, Thomas Chinwe
;
Ezepue, Patrick Oseloka
- In:
Journal of mathematical finance
8
(
2018
)
4
,
pp. 640-667
Persistent link: https://www.econbiz.de/10012016532
Saved in:
9
Carbon bond pricing and model selection
Feng, Jianfen
;
Huang, Xiaowei
;
Hou, Juyue
;
Wang, Chunxia
; …
- In:
The Singapore economic review : journal of the Economic …
63
(
2018
)
2
,
pp. 465-481
Persistent link: https://www.econbiz.de/10011856933
Saved in:
10
Extended model of stock price behaviour
Koning, Nico
;
Cassidy, Daniel T.
;
Ouyed, Rachid
- In:
Journal of mathematical finance
8
(
2018
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011846103
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