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- Title
Increments of Normal Inverse Gaussian Process as Logarithmic Returns of Stock Price.
- Authors
Rubenis, Oskars; Matvejevs, Andrejs
- Abstract
Normal inverse Gaussian (NIG) distribution is quite a new distribution introduced in 1997. This is distribution, which describes evolution of NIG process. It appears that in many cases NIG distribution describes log-returns of stock prices with a high accuracy. Unlike normal distribution, it has higher kurtosis, which is necessary to fit many historical returns. This gives the opportunity to construct precise algorithms for hedging risks of options. The aim of the present research is to evaluate how well NIG distribution can reproduce stock price dynamics and to illuminate future fields of application.
- Subjects
INVERSE Gaussian distribution; STOCK prices; ACCURACY; ALGORITHMS; KURTOSIS
- Publication
Information Technology & Management Science, 2018, Vol 21, p93
- ISSN
2255-9086
- Publication type
Academic Journal
- DOI
10.7250/itms-2018-0015