The Multi-fractal Spectrum Model for the Measurement of Random Behaviour of Asset Price Returns

Osu, Bright O.; Adindu-Dick, Joy Ijeoma

doi:10.9734/bjmcs/2014/10971

Cited by 8 publications

(5 citation statements)

References 26 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Lin and Li [10] studied "strategies of optimal reinsurance and investment for exponential utility maximization under different capital markets". Osu and Okoroafor [11] considered "investment problem having multiple risky assets". Okoroafor and Osu [1] examined "an optimal portfolio selection model for risky assets established on asymptotic power law behaviour where security prices follow a Weibull distribution".…”

Section: Introductionmentioning

confidence: 99%

Approximate Solutions for Non-Linear Evolution Stochastic Equations with Variations of Drift Parameters

Azor, P. A.,

Annorzie, M. N.,

Amadi, I. U.

2024

Asian Res. J. Math.

View full text Add to dashboard Cite

This paper considered system of stochastic differential equations with emphasis on variations of drift parameters as it affects financial markets. The Ito’s method was applied in solving the problems analytically which resulted to three different investment solutions accordingly. The appropriate conditions were accomplished which controlled various drift parameters in the assessment financial markets. Hence, the impressions on each solution of investors in financial markets were analyzed graphically. Finally, the influences of the relevant parameters of stochastic variables were effectively discussed all in this paper.

show abstract

Section: Introductionmentioning

confidence: 99%

Approximate Solutions for Non-Linear Evolution Stochastic Equations with Variations of Drift Parameters

Azor, P. A.,

Annorzie, M. N.,

Amadi, I. U.

2024

Asian Res. J. Math.

View full text Add to dashboard Cite

show abstract

“…[9] studied strategies of optimal reinsurance and investment for exponential utility maximization under different capital markets. [10] considered investment problem having multiple risky assets. [1] examined an optimal portfolio selection model for risky assets established on asymptotic power law behaviour where security prices follow a Weibull distribution.…”

Section: Introductionmentioning

confidence: 99%

Application of Non-Linear Evolution Stochastic Equations with Asymptotic Null Controllability Analysis

Amadi,

Nnoka,

Amadi

2024

IJMSS

View full text Add to dashboard Cite

This paper investigated system of stochastic differential equations with prominence on disparities of drift parameters. These problems were solved analytical by adopting the Ito’s method of solution and three different investment solutions were obtained consequently. The necessary conditions were achieved which govern various drift parameters in assessing financial markets. Therefore, the impressions on each solution of investors in financial markets were analyzed graphically. Secondly, stock price data of Transco, LTD were analyzed which covariance matrix were considered and analysis were logically extended to stochastic vector differential equation where control measures were incorporated that would help in predicting different stock price processes, and the result obtained by exploring the properties of the fundamental matrix solution where asymptotic null controllability results were obtained by the singularity of the controllability matrix a function of the drift. Finally, the effects of the significant parameters of stochastic variables were successfully discussed.

show abstract

“…[9] studied strategies of optimal reinsurance and investment for exponential utility maximization under different capital markets. [10] considered investment problem having multiple risky assets. [11] examined an optimal portfolio selection model for risky assets established on asymptotic power law behaviour where security prices follow a Weibull distribution.…”

Section: Introductionmentioning

confidence: 99%

Untitled

2024

AJMS

View full text Add to dashboard Cite

This paper investigated system of stochastic differential equations with prominence on disparities of drift parameters. These problems were solved analytical by adopting the Ito's method of solution and three different investment solutions were obtained consequently. The necessary conditions were achieved which govern various drift parameters in assessing financial markets. Therefore, the impressions on each solution of investors in financial markets were analyzed graphically. Secondly, stock price data of Transco, LTD were analyzed which covariance matrix were considered and analysis were logically extended to stochastic vector differential equation where control measures were incorporated that would help in predicting different stock price processes, and the result obtained by exploring the properties of the fundamental matrix solution where asymptotic null controllability results were obtained by the singularity of the controllability matrix a function of the drift. Finally, the effects of the significant parameters of stochastic variables were successfully discussed.

show abstract

The Multi-fractal Spectrum Model for the Measurement of Random Behaviour of Asset Price Returns

Cited by 8 publications

References 26 publications

Approximate Solutions for Non-Linear Evolution Stochastic Equations with Variations of Drift Parameters

Approximate Solutions for Non-Linear Evolution Stochastic Equations with Variations of Drift Parameters

Application of Non-Linear Evolution Stochastic Equations with Asymptotic Null Controllability Analysis

Untitled

Contact Info

Product

Resources

About