A 3-component superposed Ornstein-Uhlenbeck model applied to financial stock markets

Determining the background driving process of the Ornstein-Uhlenbeck model

“…Model simulation. This section presents our simulation of the 3-component superposed Ornstein-Uhlenbeck model [33]. The solution of the proposed Ornstein-Uhlenbeck stochastic differential equation in 2.11 is used to simulate the process.…”

“…Superposed Ornstein-Uhlenbeck model. The OU process in (2.10) is redefined as a sum of m independent Ornstein-Uhlenbeck processes [33,15,36] as…”

“…This work considers a Gamma(a, b) process and an Inverse-Gaussian(a, b) process for our Lévy driven models. We compare results when a different BDP is used from our proposed BDP to see how the performance of the 3-component superposed Ornstein-Uhlenbeck model [33] is affected.…”

Prediction of the Stock Prices at Uganda Securities Exchange Using the Exponential Ornstein–Uhlenbeck Model

“…Further research can also employ machine-learning techniques to obtain the parameters (range of the parameters) of the exponential Ornstein-Uhlenbeck model. Another suggested modifcation is a 3-component superposed exponential Ornstein-Uhlenbeck model as was the case on the OU model in [9]. One can also compare the results with those from the state-of-the-art (SOTA) models (BERT, GPT, ELMo, RoBERTa, and XLNet).…”

“…Chaiyapo and Phewchean [8] used the OU model to predict commodity prices in Tailand at the Tai commodity market. Mariani et al [9] developed a 3component superposed OU model and applied it to fnancial markets. Tey underscored the need to study stock behaviours to both investors and governments.…”