Modeling Market Prices Using Stochastic Processes
- Video Lesson
- 58 min
- Download Lesson Notebook
- Advanced
Estimated Time: 58 min
Course Level: Advanced
Summary
This video talks about the modeling of stock prices, portfolios, index returns, bonds, option prices, exchange rates and conditional risk using stochastic processes such as the ARCH process, vector-valued time series, the ARMA model, Chen's model, the Ito process and Merton jump diffusion. In doing so, it shows that the Wolfram Language contains a complete collection of stochastic processes and statistical distributions that can be fitted to a wide array of market phenomena.
Featured Products & Technologies: Wolfram Data Framework, Wolfram Finance Platform, Wolfram Knowledgebase, Wolfram Language
You'll Learn To
- Access financial data from the Wolfram Knowledgebase
- Smooth and transform data
- Build models for examining stock prices and returns
- Test different types of models
- Examine distribution patterns of prices and returns
- Use different stochastic processes to model financial data
- Create visualizations of time series data
