Wolfram U

Modeling Market Prices Using Stochastic Processes

Estimated Time: 58 min

Course Level: Advanced


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, the ARMA model, Chen's model, the 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
  • 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