Notice: On April 23, 2014, Statalist moved from an email list to a forum, based at statalist.org.
[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: Browian Motion
From
Jason Rosenberg <[email protected]>
To
"[email protected]" <[email protected]>
Subject
st: Browian Motion
Date
Mon, 10 Sep 2012 11:49:45 +0000
Hi all
A am currently doing my thesis on the nature of stock returns in South Africa
I am attempting to program a Geometric Browian Motion fit into stata.
I have my first passage times in histogram form and would like to apply a Geometric Browian Motion fit to my data
If you care to look the distribution I am attempting to program as well as the study I am replecating then google 'Optimal Investment Horizons' Simonsen et al
Perhaps a program to determine the parameters and then one to generate the curve?
Ideally I would like to be able to fit the curve and obtain the maximum using 'ml' function.
If this is possible help would be geatly appreciated and I would of course mention your help in my thesis which has a good chance of being published as it is the first analyse of its type for the South African market.
### UNIVERSITY OF CAPE TOWN This e-mail is subject to the UCT ICT policies and e-mail disclaimer published on our website at http://www.uct.ac.za/about/policies/emaildisclaimer/ or obtainable from +27 21 650 9111. This e-mail is intended only for the person(s) to whom it is addressed. If the e-mail has reached you in error, please notify the author. If you are not the intended recipient of the e-mail you may not use, disclose, copy, redirect or print the content. If this e-mail is not related to the business of UCT it is sent by the sender in the sender's individual capacity. ###
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/