(随机漫步模型统计学)randomwalkmodels演示文件修改版.pptVIP

* * Observations - 1 The lognormal model (lognormal random walk) predicts that the price will always take the form PT = P0eΣΔt This will always be positive, so this overcomes the problem of the first model we looked at. 29/30 Observations - 2 The lognormal model has a quirk of its own. Note that when we formed the prediction interval for P25 based on P0 = 40, the interval is [32.88,48.66] which has center at 40.77 40, even though μ = 0. It looks like free money. Why does this happen? A feature of the lognormal model is that E[PT] = P0exp(μT + ?σT2) which is greater than P0 even if μ = 0. P