Inlämning av Examensarbete / Submission of Thesis

Alaba-Femi AWOMEWE 2007:2, pp. 45. TEK/avd. för matematik och naturvetenskap, 2007.

The work

Författare / Author: Alaba-Femi AWOMEWE
Titel / Title: Monitoring the volatility in a process which reflects trading in the financial market
Abstrakt Abstract:

Recently, the financial market has become an area of increased research interest for mathematician and statisticians. The Black and Scholes breakthrough in this area triggered a lot of new research activity. Commonly the research concerns the log returns of assets (shares, bond, foreign exchange, option). The variation in the log returns is called volatility and it is widely studied and because of its relevance for applications in the financial world. The volatility is mostly used for measuring the risk and also for forecasting future prices. In this research work a process of trading activities is considered. It is assumed that at a random time-point a parameter change in the laws of the trading occurs, indicating changed trading behaviour. For inferential matters about the process it is of vital importance to be able to state that such change has occurred quickly and accurately. The methods used to this end are called stopping rules which signal alarm as soon as some statistics based on-line observations goes beyond some boundary. The model considered for this process of log returns is the family of Autoregressive Conditional Heteroskedastic (ARCH) model. It is widely accepted that this well describes a lot of phenomena in the financial market. In this work statements about this process will be derived, the stopping rule will be defined, evaluated and their properties discussed.

Ämnesord / Subject: Mathematics\General
Mathematics\Probability and Statistics
Nyckelord / Keywords: Financial market, Volatility, Stopping rules, ARCH(1)

Publication info

Dokument id / Document id:
Program:/ Programme Mathematical Modelling and Simulation
Registreringsdatum / Date of registration: 11/20/2008
Uppsatstyp / Type of thesis: Magisterarbete/Master's Thesis (60 credits)


Handledare / Supervisor: Ass. Prof. Eric Jarpe(Hamstad University) and Ass. Prof Cleas Jogreus(BTH),
Examinator / Examiner: Ass. Prof. Eric Jarpe(Hamstad University) and Ass. Prof Cleas Jogreus(BTH)
Organisation / Organisation: Blekinge Institute of Technology
Institution / School: TEK/avd. för matematik och naturvetenskap
S-371 41 Karlskrona
+46 455 38 50 00
Anmärkningar / Comments:

Files & Access

Bifogad uppsats fil(er) / Files attached: alabathesis.pdf (367 kB, öppnas i nytt fönster)