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| From | Jason Rosenberg <RSNJAS002@myuct.ac.za> |
| To | "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu> |
| Subject | st: First passage problem |
| Date | Tue, 11 Sep 2012 13:40:50 +0000 |
Dear Statalist members I am trying to write a program to solve the 'First Passage Problem' for geometric brownian motion. I have obtained my empirical pdf and want to fit a probability distribution to it. I have my times and there accociated probabilities, i.e. 7 has a 0.0136452 chance of occuring. I am desperate for help, I have read much if the literature on the subject but cannot figure out how to apply these methods in Stata. To view the study I am replecating google: Johansen, A., Simonsen, . I. & Jensen, M. H., 2006. Optimal investment horizons for stocks and markets. Physica A, 370(1), p. 64–67. Any help would be greatly appreciated. I would be happy to provide any further explanation on what I require Kind Regards, Dalton Rosenberg. ### 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/