Modified Brownian motion approach to modeling returns distribution
dc.cclicence | CC-BY-NC | en |
dc.contributor.author | Shakeel, Bilal | |
dc.contributor.author | Dhesi, Gurjeet | |
dc.contributor.author | Xiao, L. | |
dc.date.acceptance | 2015 | |
dc.date.accessioned | 2020-03-05T09:07:12Z | |
dc.date.available | 2020-03-05T09:07:12Z | |
dc.date.issued | 2016-03-22 | |
dc.description | The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link. | en |
dc.description.abstract | An innovative extension of Geometric Brownian Motion model is developed by incorporating a weighting factor and a stochastic function modelled as a mixture of power and trigonometric functions. Simulations based on this Modified Brownian Motion Model with optimal weighting factors selected by goodness of fit tests, substantially outperform the basic Geometric Brownian Motion model in terms of fitting the returns distribution of historic data price indices. Furthermore we attempt to provide an interpretation of the additional stochastic term in relation to irrational behaviour in financial markets and outline the importance of this novel model. | en |
dc.exception.ref2021codes | 254a | en |
dc.funder | No external funder | en |
dc.identifier.citation | Dhesi, G., Shakeel, M.B. and Xiao, L. (2016) Modified Brownian motion approach to modeling returns distribution. Wilmott, 2016(82), pp.74-77. | en |
dc.identifier.doi | https://doi.org/10.1002/wilm.10494 | |
dc.identifier.issn | 1540-6962 | |
dc.identifier.uri | https://dora.dmu.ac.uk/handle/2086/19304 | |
dc.language.iso | en | en |
dc.publisher | Wiley | en |
dc.researchinstitute | Finance and Banking Research Group (FiBRe) | en |
dc.subject | Modified Brownian Motion | en |
dc.subject | Modelling Returns Distribution | en |
dc.subject | Irrational Behaviour | en |
dc.subject | Simulations | en |
dc.title | Modified Brownian motion approach to modeling returns distribution | en |
dc.type | Article | en |
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