Forecasting Financial Processes by Using Diffusion Models

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Simple Binomial Processes as Diffusion Approximations in Financial Models

A binomial approximation to a diffusion is defined as “computationally simple” if the number of nodes grows at most linearly in the number of time intervals. It is shown how to construct computationally simple binomial processes that converge weakly to commonly employed diffusions in financial models. The convergence of the sequence of bond and European option prices from these processes to the...

متن کامل

Improving the performance of financial forecasting using different combination architectures of ARIMA and ANN models

Despite several individual forecasting models that have been proposed in the literature, accurate forecasting is yet one of the major challenging problems facing decision makers in various fields, especially financial markets. This is the main reason that numerous researchers have been devoted to develop strategies to improve forecasting accuracy. One of the most well established and widely use...

متن کامل

Probabilistic forecasting using stochastic diffusion models, with applications to cohort processes of marriage and fertility.

In this article, we show how stochastic diffusion models can be used to forecast demographic cohort processes using the Hernes, Gompertz, and logistic models. Such models have been used deterministically in the past, but both behavioral theory and forecast utility are improved by introducing randomness and uncertainty into the standard differential equations governing population processes. Our ...

متن کامل

Forecasting Financial Time-Series using Artificial Market Models

We discuss the theoretical machinery involved in predicting financial market movements using an artificial market model which has been trained on real financial data. This approach to market prediction in particular, forecasting financial time-series by training a third-party or ‘black box’ game on the financial data itself – was discussed by Johnson et al. in [10] and [13] and was based on som...

متن کامل

Jump-diffusion models driven by Lévy processes

Abstract: During the past and this decade, a new generation of continuous-time financial models has been intensively investigated in a quest to incorporate the so-called stylized empirical features of asset prices like fat-tails, high kurtosis, volatility clustering, and leverage. Modeling driven by “memoryless homogeneous” jump processes (Lévy processes) constitutes one of the most plausible d...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Dynamic Econometric Models

سال: 2010

ISSN: 1234-3862

DOI: 10.12775/dem.2010.005