Modified Brownian motion approach to modeling returns distribution

dc.cclicenceCC-BY-NCen
dc.contributor.authorShakeel, Bilal
dc.contributor.authorDhesi, Gurjeet
dc.contributor.authorXiao, L.
dc.date.acceptance2015
dc.date.accessioned2020-03-05T09:07:12Z
dc.date.available2020-03-05T09:07:12Z
dc.date.issued2016-03-22
dc.descriptionThe 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.abstractAn 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.ref2021codes254aen
dc.funderNo external funderen
dc.identifier.citationDhesi, 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.doihttps://doi.org/10.1002/wilm.10494
dc.identifier.issn1540-6962
dc.identifier.urihttps://dora.dmu.ac.uk/handle/2086/19304
dc.language.isoenen
dc.publisherWileyen
dc.researchinstituteFinance and Banking Research Group (FiBRe)en
dc.subjectModified Brownian Motionen
dc.subjectModelling Returns Distributionen
dc.subjectIrrational Behaviouren
dc.subjectSimulationsen
dc.titleModified Brownian motion approach to modeling returns distributionen
dc.typeArticleen

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