Increments of Normal Inverse Gaussian Process as Logarithmic Returns of Stock Price

2018
Oskars Rubenis, Andrejs Matvejevs

Normal inverse Gaussian (NIG) distribution is quite a new distribution introduced in 1997. This is distribution, which describes evolution of NIG process. It appears that in many cases NIG distribution describes log-returns of stock prices with a high accuracy. Unlike normal distribution, it has higher kurtosis, which is necessary to fit many historical returns. This gives the opportunity to construct precise algorithms for hedging risks of options. The aim of the present research is to evaluate how well NIG distribution can reproduce stock price dynamics and to illuminate future fields of application.

Atslēgas vārdi
Normal inverse Gaussian distribution, normal inverse Gaussian process, log-returns, maximum likelihood estimation.
DOI
10.7250/itms-2018-0015
Hipersaite
https://itms-journals.rtu.lv/article/view/itms-2018-0015

Rubenis, O., Matvejevs, A. Increments of Normal Inverse Gaussian Process as Logarithmic Returns of Stock Price. Information Technology and Management Science, 2018, Vol. 21, No. 1, 93.-97.lpp. ISSN 2255-9094. e-ISSN 2255-9094. Pieejams: doi:10.7250/itms-2018-0015

Publikācijas valoda
English (en)