Prediction of intensity jumps in the behavior of stock prices
Ways to improve stock volatility prediction with prediction of size and density of price jumps for some stocks. Finding of several models those predicted jumps better than historical mean. The best parameter for jump quantity prediction is term spread.
| Рубрика | Банковское, биржевое дело и страхование |
| Вид | дипломная работа |
| Язык | английский |
| Дата добавления | 30.08.2016 |
| Размер файла | 1009,4 K |
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