Limit theorems in financial market models
β Scribed by Koji Kuroda; Joshin Murai
- Publisher
- Elsevier Science
- Year
- 2007
- Tongue
- English
- Weight
- 174 KB
- Volume
- 383
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract This volume explores how entrepreneurial firms and universities can apply strategic change to improve their financial structures and access underβexploited sources of financial resources.
Here we present some limit theorems for a general class of generalized linear models describing time series of counts Y1; : : : ; Yn. Following Zeger (Biometrika 75 (1988) 621-629), we suppose that the serial correlation depends on an unobservable latent process { t }. Assuming that the conditional
Based on the new type of random walk process called the potentials of unbalanced complex kinetics (PUCK) model, we theoretically show that the price diffusion in large scales is amplified 2Γ°2 ΓΎ bΓ Γ1 times, where b is the coefficient of quadratic term of the potential. In short time scales the price