Re: st: Browian Motion

["Roger B. Newson" <r.newson@imperial.ac.uk>]

I don't claim to be principally an econometrician. However, I think the 
way to model "geometric Brownlan motion" for stock value data is to 
transform the stock values to logs and then to fit a Normal model, 
possibly using autoregressive and/or moving average time series.

You don't state which version of Stata you have. However, to estimate 
geometric means and their ratios, we frequently use the -eform()- option 
of -regress- (or of other packages). This is discussed in Newson (2003).

I hope this helps.

Best wishes

Roger

References

Newson R. Stata tip 1: The eform() option of regress. The Stata Journal 
2003; 3(4): 445. Download from
http://www.stata-journal.com/article.html?article=st0054


Roger B Newson BSc MSc DPhil
Lecturer in Medical Statistics
Respiratory Epidemiology and Public Health Group
National Heart and Lung Institute
Imperial College London
Royal Brompton Campus
Room 33, Emmanuel Kaye Building
1B Manresa Road
London SW3 6LR
UNITED KINGDOM
Tel: +44 (0)20 7352 8121 ext 3381
Fax: +44 (0)20 7351 8322
Email: r.newson@imperial.ac.uk
Web page: http://www.imperial.ac.uk/nhli/r.newson/
Departmental Web page:
http://www1.imperial.ac.uk/medicine/about/divisions/nhli/respiration/popgenetics/reph/

Opinions expressed are those of the author, not of the institution.

On 10/09/2012 12:49, Jason Rosenberg wrote:
> 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.
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