Multimedialne seminarium z ekono- i socjofizyki

During the seminar I will present a new approach to modelling returns distributions for financial market indices described in [1]. This approach uses an extra stochastic function over the traditional Geometric Brownian Motion, with only two parameters to be estimated. This modification is an attempt to incorporate the irrationality of the agents in financial market modeling. Earlier publications suggest it allows for obtaining a better fit to historical returns distributions [2]. I will also present a methodology which allows for forecasting kurtosis of the asset returns [1]. Finally, I will show and discuss some simulation results of my own.[1] Dhesi, G., Shakeel, B., & Ausloos, M. (2019). Modelling and forecasting the kurtosis and returns distributions of financial markets: irrational fractional Brownian motion model approach. Annals of Operations Research, 1-14.[2] Dhesi, G., Shakeel, M. B., & Xiao, L. (2016). Modified Brownian motion approach to modeling returns distribution. Wilmott, 2016(82), 74-77.