Modelowanie akcji na polskim rynku finansowym procesami Lévy'ego

• Autorzy: Paweł Kliber

Warianty tytułu

Modelling Polish Stock Market Using Lévy Processes

• Języki publikacji: PL

Abstrakty

W artykule przedstawiono próbę opisu zmian wartości indeksu WIG za pomocą Lévy'ego. Procesy Lévy'ego stanowią rozszerzenie standardowo stosowanych do opisu cen akcji procesów dyfuzji. (fragment tekstu)

EN

In classical financial theory it is assumed that assets returns follows Wiener process, what means that returns are normally-distributed. We present the facts (concerning Polish stock index) which shows that this assumption cannot be true and that returns are far from being normal. In the article we propose the usage of L6vy processes to describe prices on Polish stock market. The Levy process can be viewed as a mixture of Wiener process (diffusion) and jump process (with appropriate jump measure). Two questions arise: (1) how much jumps and how much diffusion there are in the process, (2) what is jump measure like. The paper tries to answer these questions. We argue that in the Polish market about one third of the volatility is caused by continuous price changes (diffusion) and the rest two third are jumps. We also estimate jump measure using GMM method.(original abstract)

Słowa kluczowe

PL

Procesy Levy'ego; Rynki finansowe; Ceny akcji; Dyfuzja

EN

Levy processes; Financial markets; Shares prices; Diffusion

• Czasopismo: Zeszyty Naukowe / Akademia Ekonomiczna w Poznaniu
• Rocznik: 2007
• Numer: nr 92
• Strony: 175--185

Twórcy

autor

Paweł Kliber

• Akademia Ekonomiczna w Poznaniu

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