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Jameel’s Criterion and Jameel’s Advanced Stressed Models: An Ideas that Lead to Non-Normal Stocks Brownian Motion Models

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  • Jamilu Auwalu Adamu

    (National Mathematical Centre, Abuja, Nigeria)

Abstract

Jameel’s Criterion and Jameel’s Advanced Stressed Models (2015) were introduced to capture Low-Probability, High-Impact Events in the existing Default and Derivatives Pricing Models. “Stock Prices are perhaps the most closely watched Economic variables to date†. The existing models (Simple and Fractional Brownian Motion as well as Stable Distributions) have difficulties in identifying the right tail distribution (process), that is  whether to use power-type or exponential-type distributions; the stable distributions generalize normal distribution; Geometric Brownian Motion (GBM) can only be used to forecast maximum of two weeks closing prices and does not include cyclical or seasonal effects together with the periods of constant values according to (Kou (2002); Abidin and Jaffar (2014); Marathe and Ryan (2005); Gajda and Wylomanka (2012)) respectively.

Suggested Citation

  • Jamilu Auwalu Adamu, 2017. "Jameel’s Criterion and Jameel’s Advanced Stressed Models: An Ideas that Lead to Non-Normal Stocks Brownian Motion Models," Noble International Journal of Business and Management Research, Noble Academic Publsiher, vol. 1(10), pages 136-154, October.
    • Handle: RePEc:nap:nijbmr:2017:p:136-154
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    References listed on IDEAS

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    1. Taleb, Nassim Nicholas, 2007. "Black Swans and the Domains of Statistics," The American Statistician, American Statistical Association, vol. 61, pages 198-200, August.
    2. Taleb, Nassim Nicholas, 2009. "Errors, robustness, and the fourth quadrant," International Journal of Forecasting, Elsevier, vol. 25(4), pages 744-759, October.
    3. L. C. G. Rogers, 1997. "Arbitrage with Fractional Brownian Motion," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 95-105, January.
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