PL EN


2014 | 191 | 7-14
Article title

Analiza porównawcza średniego odsetka czasu przebywania w pierwszej i drugiej połowie dnia - badania empiryczne

Content
Title variants
EN
Comparative Analysis of the Relative Occupation Time of the First and Second Half of the Day - Empirical Research
Languages of publication
PL
Abstracts
EN
In the paper, authors present the analysis of the relative occupation time. The ana- lysis concerns the mean of relative occupatio n time determined on the basis of the stock price taken from the first and second half of the day. The presented analysis does not exhaust the family of possible applica tions of occupation time functional.
Year
Volume
191
Pages
7-14
Physical description
Contributors
References
  • Bayraktar E., Young V.R., Optimal Investment Strategy to Minimize Occupation Time, "Annales of Operations Research" 2010, No. 176, s. 389-408.
  • Cai N., Chen N., Wan X., Occupation Times of Jump-Diffusion Processes with Double Exponential Jumps and the Pricing of Options, "Mathematics of Operations Research" 2010, Vol. 35, No. 2, s. 412-437.
  • Czernik T., Czas przebywania - potencjalne zastosowania. Geometryczny ruch Browna, Polskie Towarzystwo Ekonomiczne, Katowice 2013.
  • Darling D.A., Kac M., On Occupation Times for Markoff Processes, "Transactions of AMS" 1957, No. 84, s. 444-458.
  • Pechtl A., Distributions of Occupation Times of Brownian Motion with Drift, "Journal of Applied Mathematics & Decision Sciences" 1999, 3(1), s. 41-62.
  • Sharp N.J., Johnson P.V., Newton D.P., Duck P.W., A New Prepayment Model (with Default): An Occupation-Time Derivative Approach, "Journal of Real Estate Finance and Economic" 2009, No. 39, s. 118-145.
  • Wywiał J., Wprowadzenie do wnioskowania statystycznego, Wydawnictwo Akademii Ekonomicznej, Katowice 2004.
Document Type
Publication order reference
Identifiers
ISSN
2083-8611
YADDA identifier
bwmeta1.element.desklight-c56b07c3-fd61-41c4-bfc7-dea34c28326e
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