On markov modulated mean-reverting price-difference models
Joint Authors
Malcolm, W. P.
al-Lawatii, Muhammad
Aqun, Lakhdar
Source
Sultan Qaboos University Journal for Science
Issue
Vol. 2008, Issue 13 (31 Dec. 2008), pp.55-62, 8 p.
Publisher
Sultan Qaboos University College of Science
Publication Date
2008-12-31
Country of Publication
Oman
No. of Pages
8
Main Subjects
Topics
Abstract AR
هذا البحث يطور نموذج يحتوي على سلسلتان من نوه مركوف تقوم بالتأثير على نموذج يقوم بدراسة حرجة للفرق بين الأسعار في سوق المال.
السلسلتان من نوع مركوف تقوم بتوصيف أحداث غير معروفة لكن ذات تأثير على الأسعار في سوق المال.
و ستعتمل في هذا البحث طرق تغيير القياس لتقدير التوزيع الشرطي المتكرر.
Abstract EN
In this paper we develop a stochastic model incorporating a double-Markov modulated mean-reversion model.
Unlike a price process the basis process X can take positive or negative values.
This model is based on an explicit discretization of the corresponding continuous time dynamics.
The new feature in our model is that we suppose the mean reverting level in our dynamics as well as the noise coefficient can change according to the states of some finite-state Markov processes which could be the economy and some other unseen random phenomenon.
American Psychological Association (APA)
Malcolm, W. P.& Aqun, Lakhdar& al-Lawatii, Muhammad. 2008. On markov modulated mean-reverting price-difference models. Sultan Qaboos University Journal for Science،Vol. 2008, no. 13, pp.55-62.
https://search.emarefa.net/detail/BIM-212346
Modern Language Association (MLA)
Malcolm, W. P.…[et al.]. On markov modulated mean-reverting price-difference models. Sultan Qaboos University Journal for Science No. 13 (2008), pp.55-62.
https://search.emarefa.net/detail/BIM-212346
American Medical Association (AMA)
Malcolm, W. P.& Aqun, Lakhdar& al-Lawatii, Muhammad. On markov modulated mean-reverting price-difference models. Sultan Qaboos University Journal for Science. 2008. Vol. 2008, no. 13, pp.55-62.
https://search.emarefa.net/detail/BIM-212346
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references : p. 62
Record ID
BIM-212346