On the increment distributions of stock prices

DOI10.1007/S11766-001-0071-6MaRDI QIDQ5952874zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Cox processincrement distribution of stock pricesmixing distribution

Mathematics Subject Classification ID

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

Review text

The authors construct the models of increment distributions of stock prices in two approaches. The first approach is based on limit theorems of random summation. The second is based on the statistical analysis of increment distributions of the logarithms of stock prices.

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Cites work

• scientific article; zbMATH DE number 3828921 (Why is no real title available?)
• scientific article; zbMATH DE number 893785 (Why is no real title available?)
• Lower Bounds for the Tails of Distributions of Cubic Forms of Normally Distributed Random Variables

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(17)

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• Analysis on average price of holding stock based on stock distribution model
• Application of a method of cluster expansion to security price process
• The Distribution of Stock Returns When the Market Is Up
• What does the tail of the distribution of current stock prices tell us about future economic activity?
• A second-order stock market model
• scientific article; zbMATH DE number 2099641 (Why is no real title available?)
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• Modelling of shares density distribution with discrete observations
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