On the increment distributions of stock prices

DOI10.1007/S11766-001-0071-6zbMATH Open0987.91037OpenAlexW2070476412MaRDI QIDQ5952874FDOQ5952874

Authors: V. Yu. Korolev, Xuanmin Zhao, Vladimir E. Bening 

Publication date: 9 April 2002

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-001-0071-6

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zbMATH Keywords

Cox processmixing distributionincrement distribution of stock prices

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Lower Bounds for the Tails of Distributions of Cubic Forms of Normally Distributed Random Variables

Cited In (16)

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• Modeling record-breaking stock prices
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• Analysis on average price of holding stock based on stock distribution model
• What does the tail of the distribution of current stock prices tell us about future economic activity?
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• Some possible stock price distributions under incompleteness of the market
• A second-order stock market model
• Modelling of shares density distribution with discrete observations
• The financial value of knowing the distribution of stock prices in discrete market models
• Application of a method of cluster expansion to security price process
• The Distribution of Stock Returns When the Market Is Up
• Models for stock returns
• Return or stock price differences

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