词汇Brownian motion 释义 noun This slide shows how Brownian motion appears through a microscope.The mathematics behind Brownian motion was applied to stock market fluctuations. 时代网英语在线翻译词典收录了323754条英语词汇在线翻译词条,基本涵盖了全部常用英语词汇的中英文双语翻译及用法,是英语学习的有利工具。
Brownian Motion of Stock MarketOsborne, M
Geometric Brownian Motion Model in Financial Market Zhijun Yang Faculty Adivisor: David Aldous In the modeling of financial market, especially stock market, Brownian Motion play a significant role in building a statisitcal model. In this section, I will explore some of the technique to buil...
We begin by exploring the intuition of Brownian motion by explaining its birth through the observations of Robert Brown and later through Bachelier's work on its applications to the financial market and finally its rigorous and concretized form proposed by Norbert Wiener. The aforementioned motivates...
The process has been used beneficially in such areas as statistical testing of goodness of fit, analyzing the price levels on the stock market, and quantum mechanics. When σ = 1, the process is called standard Brownian motion. The interpretation of Brownian motion as the limit of the random...
Applying the scheme of non-equilibrium thermodynamics, one then easily obtains the Fokker-Planck equation for simultaneous Brownian motion of N particles in a temperature gradient. This equation accounts for couplings in the motion as a result of hydrodynamic interactions between particles....
This paper determines the probability that a drawdown of a units precedes a rally of b units. We apply this result to examine stock market crashes and rallies in the geometric Brownian motion model.关键词:Drawdowns Brownian motion model Rallies ...
4 Mixed Brownian–Poisson market We extend the results of Sect. 3 to the case of Brownian–Poisson market, i.e., the dynamics of the risky asset are driven by a Brownian motion and a compensated Poisson process and the market coefficients satisfy \(\sigma _t,\theta _t\ne 0\) \({\...
Empirical StudiesNikkei 225 Index OptionsIn this paper, we mainly discuss an empirical study of option prices under the hybrid Brownian motion model developed by [1]. In a specific case of parameters, we have a simple transition probability density function that has a fattailed feature as time ...
In this paper, we consider the drawdown and drawup of the fractional Brownian motion with trend, which corresponds to the logarithm of geometric fractional Brownian motion representing the stock price in financial market. We derive the asymptotics of tail probabilities of the maximum drawdown and max...