지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
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As we know, some indices and data are strong influence to the price movement of some assets now, but not to another assets and in future. Thus we define some asset models for several time intervals; intraday, weekly, monthly, and yearly asset models. We define these asset models by using Brownian motion with volatility and Poisson process, and several deterministic functions(index function, twitter data function and big-jump simple function etc). In our asset models, these deterministic functions are the positive or negative levels of auxiliary indices, of analyzed data, and for imminent and extreme state(for example, financial shock or the highest popularity in the market). These functions determined by indices, twitter data and shocking news are a kind of one of speciality of our asset models. For reasonableness of our asset models, we introduce several real data, figurers and tables, and simulations. Perhaps from our asset models, for short-term or long-term investment, we can classify and reference many kinds of usual auxiliary indices, information and data.
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참고문헌 (17)
참고문헌 신청
B. L. S. Prakasa Rao / 2004 / Self-similar processes, fractional Brownian motion and statistical inference / A Festschrift for Herman Rubin Institute of Math. Statistics Lec
C. Castillo / 2011 / Information credibility on twitter / Proceedings of World Wide Web Conference : 675 ~ 684
C. Lindberg / / Portfolio optimization and statistics in stochastic volatility markets / Doctor / Chalmers Univ.
C. Park / 2011 / Long range dependence analysis of internet traffic / Journal of Applied Statistics 38 (7) : 1407 ~ 1433
D. H. Lee / 2013 / Autocorrelation analysis of the sentiment with stock information appearing on gig-data / 한국금용공학회 학술발표논문집 : 282 ~ 304
C. Castillo / 2011 / Information credibility on twitter / Proceedings of World Wide Web Conference : 675 ~ 684
C. Lindberg / / Portfolio optimization and statistics in stochastic volatility markets / Doctor / Chalmers Univ.
C. Park / 2011 / Long range dependence analysis of internet traffic / Journal of Applied Statistics 38 (7) : 1407 ~ 1433
D. H. Lee / 2013 / Autocorrelation analysis of the sentiment with stock information appearing on gig-data / 한국금용공학회 학술발표논문집 : 282 ~ 304
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