Empirical evidences of coherent market hypothesis

Master Thesis

2002

Permanent link to this Item
http://hdl.handle.net/11427/4897
Files
thesis_sci_2002_kao_pt.pdf (9.73 MB)
Authors
Kao, Peter Ta-Chao
Supervisors
Guo, Renkuan
Journal Title
Link to Journal
Journal ISSN
Volume Title
Publisher
Publisher

University of Cape Town

Department
Department of Mathematics and Applied Mathematics
Faculty
Faculty of Science
License
Series
Abstract
In this dissertation, empirical explorations of basic properties of the CMH-based returns distribution will be conducted on the Johannesburg Stock Exchange. This is followed by a the-oretical exploraion of the stochastic differential equations that governs the underlying market dynamics.
Description

Bibliography: leaves 202-208.

Keywords
Mathematics of Finance

Reference:

Kao, P. 2002. Empirical evidences of coherent market hypothesis. University of Cape Town.

Collections
Masters