We introduce a stochastic price model where, together with a random com-
ponent, a moving average of logarithmic prices contributes to the price for-
mation.

By Prof. R. Baviera, Prof. M. Pasquini, Prof. J. Raboanary and Prof. M. Serva

Published by International Journal of Theoretical and Applied Finance 6, 2002

Summary:

•Abstract

•Introduction

•The Model

•Data Analysis

•Efficiency

•Forecasting

•Conclusions and References

•Books Related