On The Validity of The Geometric Brownian Motion Assumption
نویسندگان
چکیده
منابع مشابه
On the Validity of the Geometric Brownian Motion Assumption
The geometric Brownian motion (GBM) process is frequently invoked as a model for such diverse quantities as stock prices, natural resource prices, and the growth in demand for products or services. We discuss a process for checking whether a given time series follows the GBM process. Methods to remove seasonal variation from such a time series are also analyzed. Of four industries studied, the ...
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ژورنال
عنوان ژورنال: The Engineering Economist
سال: 2005
ISSN: 0013-791X,1547-2701
DOI: 10.1080/00137910590949904