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A Diffusion Approach To Economic Time Series

Author

Listed:
  • M. CIOGLI

    (Department of Mathematics for Economics, Financial and Insurance Decisions, University of Rome "La Sapienza", Italy)

  • G. ROTUNDO

    (Department of Mathematics for Economics, Financial and Insurance Decisions, University of Rome "La Sapienza", Italy)

  • B. TIROZZI

    (Department of Physics, University of Rome "La Sapienza", Italy)

Abstract

A diffusion equation for the price evolution of the Italian share "Olivetti" is found by investigating a series of its data. The coefficients of this equation are found by using the maximum likelihood method based on martingale theory. We evaluate pricing and hedging strategy by the Sornette and Bouchaud approach.

Suggested Citation

  • M. Ciogli & G. Rotundo & B. Tirozzi, 2000. "A Diffusion Approach To Economic Time Series," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 3(03), pages 567-568.
    • Handle: RePEc:wsi:ijtafx:v:03:y:2000:i:03:n:s0219024900000619
    DOI: 10.1142/S0219024900000619
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