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Derivation of Probability Density Functions for the Relative Differences in the Standard and Poor's 100 Stock Index Over Various Intervals of Time

In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means.
The density functions allow stock market participants trading index options and futures contracts on the S & P 100 Stock Index to determine probabilities of success or failure of trades involving price movements of certain magnitudes in given lengths of time.

Identiferoai:union.ndltd.org:unt.edu/info:ark/67531/metadc330882
Date08 1900
CreatorsBunger, R. C. (Robert Charles)
ContributorsWilliams, Ronald, Hagan, Melvin R., Spalding, John Barney
PublisherUniversity of North Texas
Source SetsUniversity of North Texas
LanguageEnglish
Detected LanguageEnglish
TypeThesis or Dissertation
Formatv, 38 leaves, Text
Coverage1983-07-22-1988-02
RightsPublic, Bunger, R. C. (Robert Charles), Copyright, Copyright is held by the author, unless otherwise noted. All rights reserved.

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