论文标题
股票价格为Janardan Galton Watson流程
Stock Prices as Janardan Galton Watson Process
论文作者
论文摘要
Janardan（1980）介绍了将伯努利和泊松之间的一类后代分布。本文将Janardan Galton Watson（JGW）分支机构作为股票价格的模型扩展。在本文中，随时间t随时间t的回报值取决于最初的近距离价格，该价格表明后代的数量在时间t段落后的回报期望和灭绝概率中起作用。假设第三代的后代数为零（即，在时间t时称为模型的灭绝）是等效的，而随时间时间[0，t]。我们还介绍了检测股票市场趋势的算法。
Janardan (1980) introduces a class of offspring distributions that sandwich between Bernoulli and Poisson. This paper extends the Janardan Galton Watson (JGW) branching process as a model of stock prices. In this article, the return value over time t depends on the initial close price, which shows the number of offspring, has a role in the expectation of return and probability of extinction after the passage at time t. Suppose the number of offspring in t th generation is zero, (i.e., called extinction of model at time t) is equivalent with negative return values over time [0, t]. We also introduce the Algorithm that detecting the trend of stock markets.
