The truncated distribution of the range for a Wiener process: Application to the stock price | ||||
| Delta Journal of Science | ||||
| Article 3, Volume 37, Issue 1, June 2016, Page 21-40 PDF (1.56 MB) | ||||
| Document Type: Research and Reference | ||||
| DOI: 10.21608/djs.2016.139915 | ||||
 View on SCiNiTO | ||||
| Authors | ||||
| Abd El-Moneim A. Teamah; Mohamed A. El-Hadidy; Maraw M. El-Ghoul | ||||
| Department of Mathematics, Faculty of Science, Tanta University, Tanta, Egypt. | ||||
| Abstract | ||||
| In this paper, the exact truncated distribution of the stock price (truncated distribution for the range of a Wiener process) is available among the established results in the field of mathematics (Probability Distributions). Various statistical properties of the distribution are derived including reliability properties, moments, stress-strength parameter, order statistics, Bonferroni curve, Lorenz curve and Gini’s index. A real data set is analyzed to clarify the effectiveness of this distribution. | ||||
| Keywords | ||||
| Truncated distribution; Wiener process; Reliability properties; Order Statistics | ||||
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