Modelo Estocástico Wiener Gauss: una Aplicación a la Economía Financiera en el Mercado de Capitales de España
Fuente:
Redalyc
Guardado en:
| Autor principal: | |
|---|---|
| Formato: | Artículo científico |
| Lenguaje: | en |
| Publicado: |
Universidad de Tarapacá
2000
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1876444382139252736 |
|---|---|
| author | LIliana Pedraja R. |
| author_facet | LIliana Pedraja R. |
| contents | Modelo Estocástico Wiener Gauss: una Aplicación a la Economía Financiera en el Mercado de Capitales de España LIliana Pedraja R. Emilio Rodríguez P. Ricardo Server I. Ingeniería The aim of this paper is to analize if the process of price formation of the food sector index at the Madrid stockexchange behaves according to a Wiener-Gauss process applied to financial economy. That means to evaluate if theweak form of market efficiency is true, in Madrid Stock Exchange, in the formation of this financing asset. So, weeklydata of closing prices of the food sector index at the Madrid Stock Excahange betwen 1994 and 1998 are used to verifyif the process of price formation of this index can be explained through the Wiener-Gauss model.Results suggest that the weekly price formation process of the food index at the Madrid stock exchange is random; thereturn has a normal distribution; the stochastic process of weekly price formation of the index can be typified according to the Wiener-Gauss process. Also, the generated price estimates ? starting from a Wiener-Gauss process ? arestatistically significant to explain weekly prices fo the index studied, and random variations that explain the differencesbetween estimated weekly prices and real weekly prices of the index basically correspond to a normal distribution. 2000 artículo científico 0717-1072 https://www.redalyc.org/articulo.oa?id=11400805 en http://www.redalyc.org/revista.oa?id=114 Revista Facultad de Ingeniería application/pdf Universidad de Tarapacá Revista Facultad de Ingeniería (Chile) Num.8 |
| format | Artículo científico |
| id | redalyc_11400805 |
| institution | Redalyc |
| language | en |
| publishDate | 2000 |
| publisher | Universidad de Tarapacá |
| spellingShingle | Modelo Estocástico Wiener Gauss: una Aplicación a la Economía Financiera en el Mercado de Capitales de España LIliana Pedraja R. Ingeniería Modelo Estocástico Wiener Gauss: una Aplicación a la Economía Financiera en el Mercado de Capitales de España LIliana Pedraja R. Emilio Rodríguez P. Ricardo Server I. Ingeniería The aim of this paper is to analize if the process of price formation of the food sector index at the Madrid stockexchange behaves according to a Wiener-Gauss process applied to financial economy. That means to evaluate if theweak form of market efficiency is true, in Madrid Stock Exchange, in the formation of this financing asset. So, weeklydata of closing prices of the food sector index at the Madrid Stock Excahange betwen 1994 and 1998 are used to verifyif the process of price formation of this index can be explained through the Wiener-Gauss model.Results suggest that the weekly price formation process of the food index at the Madrid stock exchange is random; thereturn has a normal distribution; the stochastic process of weekly price formation of the index can be typified according to the Wiener-Gauss process. Also, the generated price estimates ? starting from a Wiener-Gauss process ? arestatistically significant to explain weekly prices fo the index studied, and random variations that explain the differencesbetween estimated weekly prices and real weekly prices of the index basically correspond to a normal distribution. 2000 artículo científico 0717-1072 https://www.redalyc.org/articulo.oa?id=11400805 en http://www.redalyc.org/revista.oa?id=114 Revista Facultad de Ingeniería application/pdf Universidad de Tarapacá Revista Facultad de Ingeniería (Chile) Num.8 |
| title | Modelo Estocástico Wiener Gauss: una Aplicación a la Economía Financiera en el Mercado de Capitales de España |
| topic | Ingeniería |
| url | https://www.redalyc.org/articulo.oa?id=11400805 |