Prediction of the stock prices at Uganda securities exchange using the exponential Ornstein-Uhlenbeck model

DOI10.1155/2023/2377314zbMath1520.91389OpenAlexW4384928111MaRDI QIDQ6169329

Erina Nanyonga, Fred Mayambala, Juna Kasozi

Publication date: 14 August 2023

Published in: International Journal of Mathematics and Mathematical Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2023/2377314

Mathematics Subject Classification ID

Diffusion processes (60J60) Financial markets (91G15)

Cites Work

• An application of Ornstein-Uhlenbeck process to commodity pricing in Thailand
• Calibration of the exponential Ornstein-Uhlenbeck process when spot prices are visible through the maximum log-likelihood method. Example with gold prices
• Ornstein-Uhlenbeck processes for geophysical data analysis
• In the insurance business risky investments are dangerous
• An Intertemporal General Equilibrium Model of Asset Prices
• Ornstein--Uhlenbeck Process with Non-Gaussian Structure
• Stochastic differential equations. An introduction with applications.

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