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 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)

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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

Cited in

(16)

• On the variance of stock price distributions
• Modeling record-breaking stock prices
• On the measurement of random behaviour of stock price changes
• 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?
• scientific article; zbMATH DE number 2109692 (Why is no real title available?)
• scientific article; zbMATH DE number 2202599 (Why is no real title available?)
• scientific article; zbMATH DE number 2099641 (Why is no real title available?)
• 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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