Development of nonlinear stochastic models by using stock price data and basic statistics
Authors: 
G. S. Ladde, Ling WuAuthors Info & Claims
Abstract
We employ the classical model building process to develop nonlinear stochastic models for stock market. In this work, three different nonlinear stochastic models are presented. Furthermore, under different data partitioning with equal and unequal intervals, a few modified nonlinear models are developed. Empirical comparisons between the constructed models and GBM (linear) models are also outlined.
References
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G. S. Ladde, and Ling Wu, Development of Modified Geometric Brownian Motion Models by Using Stock Price Data and Basic Statistics, Nonlinear Analysis 1 in press, Available online 24 January 2009.
- Development of nonlinear stochastic models by using stock price data and basic statistics
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Dynamic Publishers, Inc.
United States
Publication History
Published: 01 September 2010
Received: 09 June 2009
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