Wolfram Computation Meets Knowledge

Video Class

Modeling Market Prices Using Stochastic Processes

Download Presentation Notebook Level: Advanced Video: 58 min

Summary

This video talks about the modeling of stock prices, portfolios, index returns, bonds, option prices, exchange rates and conditional risk using stochastic processes such as the ARCH process, vector-valued time series, ARMA model, Chen's model, Ito process and Merton jump diffusion. In doing so, it shows that the Wolfram Language contains a complete collection of stochastic processes and statistical distributions that can be fitted to a wide array of market phenomena.

Featured Products & Technologies: Wolfram Data Framework, Wolfram Finance Platform, Wolfram Knowledgebase, Wolfram Language

You'll Learn To

  • Access financial data from the Wolfram Knowledgebase
  • Smooth and transform data
  • Build models for examining stock prices and returns
  • Forecast stock prices using a model
  • Test different types of models
  • Examine distribution patterns of prices and returns
  • Use different stochastic processes to model financial data
  • Create visualizations of time series data
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