Обнаружение статистически значимых скачков цен золота при внутридневной торговле
| Parent link: | Перспективы развития фундаментальных наук=Prospects of Fundamental Sciences Development: сборник научных трудов XIII Международной конференции студентов, аспирантов и молодых ученых, г. Томск, 26-29 апреля 2016 г./ Национальный исследовательский Томский политехнический университет (ТПУ) ; под ред. И. А. Курзиной, Г. А. Вороновой.— , 2016 Т. 3 : Математика.— 2016.— [С. 45-47] |
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| Summary: | Заглавие с титульного экрана As an asset we take the cost of an ounce of gold in the spot market. Next, we calculated measures ofrealized variation and square variation, allows to evaluate spikes in the price of gold within a day with differenttime intervals. And as we formulate and check a statistical hypothesis about the presence of at least onesignificant jump within the day and do a statistical test of hypotheses about the presence of jumps. We find thenumber of days with the award opportunities and determined the frequency distribution of magnitude of thejumps and their number for gold on the considered time intervals. We calculated the average values of the jumpsfor gold and determine the value of yields for each Issuer during the period under review and perform comparison to identify the most profitable investment of capital. |
| Language: | Russian |
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2016
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| Online Access: | http://earchive.tpu.ru/handle/11683/25918 |
| Format: | Electronic Book Chapter |
| KOHA link: | https://koha.lib.tpu.ru/cgi-bin/koha/opac-detail.pl?biblionumber=618223 |