Markov-modulated geometric Brownian motion and Bollinger bands

MaRDI QIDQ3516636zbMATH OpenFDO

Authors Xudong Huang, Wei Liu

Publication date 6 August 2008

zbMATH Keywords

geometric Brownian motionstationary processMarkov-modulatedBollinger band

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Brownian motion (60J65)

Recommendations

• Stochastic volatility model and technical analysis of stock price
• Properties of corresponding statistics of the technical analysis indexes on a SARV model
• Fractional Black-Scholes model and technical analysis of stock price
• scientific article; zbMATH DE number 5847056
• An empirical study on technical analysis: GARCH(1,1) model

Cited in

(4)

• Hypothesis test on stock price model
• An empirical study on technical analysis: GARCH(1,1) model
• Properties of corresponding statistics of the technical analysis indexes on a SARV model
• Stochastic volatility model and technical analysis of stock price

This page was built for publication: Markov-modulated geometric Brownian motion and Bollinger bands

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3516636)