Korean J. Math.  Vol 22, No 3 (2014)  pp.529-552
DOI: https://doi.org/10.11568/kjm.2014.22.3.529

Financial models induced from auxiliary indices and twitter data

Jae-pill Oh

Abstract


As we know, some indices and data are strong influence to the price movement of some assets now, but not to another assets and in future. Thus we define some asset models for several time intervals; intraday, weekly, monthly, and yearly asset models. We define these asset models by using Brownian motion with volatility and Poisson process, and several deterministic functions(index function, twitter data function and big-jump simple function etc). In our asset models, these deterministic functions are the positive or negative levels of auxiliary indices, of analyzed data, and for imminent and extreme state(for example, financial shock or the highest popularity in the market). These functions determined by indices, twitter data and shocking news are a kind of one of speciality of our asset models. For reasonableness of our asset models, we introduce several real data, figurers and tables, and simulations. Perhaps from our asset models, for short-term or long-term investment, we can classify and reference many kinds of usual auxiliary indices, information and data.

Keywords


asset model, Levy process, SDE, optimal portfolio, utility function.

Subject classification

60G15, 60H10, 60j65, 60J75, 62P20.

Sponsor(s)

This study was supported by 2013 Research Grant of Kangwon National University(C1010184-01-01).

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