magistrsko delo
Matej Pirnat (Author), Janez Bernik (Mentor)

Abstract

Statistična primerjava gibanja znotrajdnevnih borznih tečajev s simuliranimi po modelu geometrijskega Brownovega gibanja

Keywords

geometrijsko Brownovo gibanje;simuliranje časovnih vrst tečajev;model skritih markovskih verig;statistično testiranje;test homogenosti;analiza znotrajdnevnih borznih tečajev;visokofrekvenčni podatki;simulacija števila poslov;terminske pogodbe;

Data

Language: Slovenian
Year of publishing:
Typology: 2.09 - Master's Thesis
Organization: UL FMF - Faculty of Mathematics and Physics
Publisher: [M. Pirnat]
UDC: 519.2
COBISS: 17206361 Link will open in a new window
Views: 861
Downloads: 360
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Other data

Secondary language: English
Secondary title: Statistical comparison of intraday stock price movement with simulations of a geometric Brownian motion
Secondary keywords: geometric Brownian motion;simulation of price movement;hidden Markov chain model;statistical testing;test of homogeneity;intraday quotes analysis;high-frequency data;simulation of trading volume;futures contracts;
Type (COBISS): Master's thesis/paper
Thesis comment: Univ. v Ljubljani, Fak. za matematiko in fiziko, Oddelek za matematiko, Finančna matematika - 2. stopnja
Pages: 48 str.
ID: 10911058