The problem is to find the (parametric?) distribution of the ratio
low/high in connection with Brownian motions. The application I have in
mind is daily low/high or 52-week low/high for any particular stock
price. I would like to add a result on this subject in my section
"theorems" on my web site. I've been thinking of adding a graph of
these distributions, obtained by simulation, but if someone has
something better (a theoretical result or a good reference), I would
acknowledge her contribution. I am also interested in extreme value
theory applied to the stock market.
Vincent Granville
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http://www.datashaping.com : Advanced Statistical Strategies
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