Similar Search Results

Powers, Michael R. - In: The Journal of Risk Finance 9 (2008) 1, pp. 5-8

Purpose – In this two‐part series, this paper seeks to consider certain intriguing aspects of randomness, the basic mathematical concept used to model financial risk and other unknown quantities in the physical world. Design/methodology/approach – Part 1 applies concepts from quantum...

Persistent link: https://www.econbiz.de/10014901448

The nature of randomness

Powers, Michael R. - In: The Journal of Risk Finance 9 (2008) 2, pp. 101-105

Purpose – The purpose of the paper, in this two‐part series, is to consider certain intriguing aspects of randomness, the basic mathematical concept used to model financial risk and other unknown quantities in the physical world. Design/methodology/approach – In Part 2 of the paper, the...

Persistent link: https://www.econbiz.de/10014901455

Sensitivity analysis of market and stock returns by considering positive and negative jumps

Theodosiadou, Ourania; Polimenis, Vassilis; Tsaklidis, … - In: The Journal of Risk Finance 17 (2016) 4, pp. 456-472

aims to decompose the stock return evolution into positive and negative jumps, and a Brownian noise (white noise), by … taking into account different noise levels. This paper provides a sensitivity analysis of the model (through the analysis of … be considered to be normal, and the variance of these errors increases as the variance of the noise increases …

Persistent link: https://www.econbiz.de/10014901841