Results 21 to 30 of about 136,850 (323)
Journal of Computing Research and Innovation, 2018 In Malaysia, Financial Times Stock Exchange (FTSE) of Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) provides charts, companies’ profile and other market data to help the local and foreign investors to make decisions involving their investments ...
Teoh Yeong Kin +2 more
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AIMS MathematicsConsidering the characteristics of long-range correlations in financial markets, the issue of valuing geometric average Asian options is examined, assuming that the variations of the underlying asset follow the mixed sub-fractional Brownian motion, and ...
Xinyi Wang, Chunyu Wang
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On oscillations of the geometric Brownian motion with time-delayed drift [PDF]
Statistics & Probability Letters, 2004 The geometric Brownian motion is the solution of a linear stochastic differential equation in the Ito sense. If one adds to the drift term a possible nonlinear time-delayed term and starts with a non-negative initial process then the process generated in this way, may hit zero and may oscillate around zero infinitely many times depending on properties ...
A. A. Gushchin, Uwe Küchler
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Geometric Brownian motion under stochastic resetting: A stationary yet nonergodic process. [PDF]
Physical Review E, 2021 We study the effects of stochastic resetting on geometric Brownian motion with drift (GBM), a canonical stochastic multiplicative process for nonstationary and nonergodic dynamics.
Viktor Stojkoski +3 more
semanticscholar +1 more source
Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion [PDF]
, 2016 Young Shin Kim +3 more
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Income inequality and mobility in geometric Brownian motion with stochastic resetting: theoretical results and empirical evidence of non-ergodicity [PDF]
Philosophical Transactions of the Royal Society A, 2021 We explore the role of non-ergodicity in the relationship between income inequality, the extent of concentration in the income distribution, and income mobility, the feasibility of an individual to change their position in the income rankings.
Viktor Stojkoski +5 more
semanticscholar +1 more source
Ergodicity breaking in wealth dynamics: The case of reallocating geometric Brownian motion. [PDF]
Physical Review E, 2021 A growing body of empirical evidence suggests that the dynamics of wealth within a population tends to be nonergodic, even after rescaling the individual wealth with the population average.
Viktor Stojkoski, Marko Karbevski
semanticscholar +1 more source
An Empirical Analysis of Price Jump and Asymmetric Information in Tehran Stock Exchange [PDF]
راهبرد مدیریت مالی, 2016 Deep understanding aboutthe impact of news and information on stock market is vital for analyzing and forecasting stock return. For this purpose, stochastic differential equations, such as geometric Brownian motion, geometric Brownian motion with jump ...
Saber Molaei +2 more
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Journal of Mathematics in Industry, 2021 In this paper we apply the method of stochastic characteristics to a Lighthill–Whitham–Richards model. The stochastic perturbation can be seen as errors in measurement of the traffic density.
Nora Müller, Wolfgang Bock
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Ergodicity Breaking in Geometric Brownian Motion [PDF]
Physical Review Letters, 2013 5 pages, 3 ...
Ole Peters, William Klein
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