10900
EXPLORE
LATEST
ABOUT
AUTHORING AREA
PARTICIPATE
Your browser does not support JavaScript or it may be disabled!
Estimating the Ornstein-Uhlenbeck Process Using Least-Squares Regression
This Demonstration simulates the Ornstein-Uhlenbeck process [1] and estimates its parameters using the least-squares regression method [2].
Contributed by:
Grzegorz Szoniec
THINGS TO TRY
Slider Zoom
Gamepad Controls
Automatic Animation
SNAPSHOTS
DETAILS
References
[1] G. Levy,
Computational Finance Using C and C#
, Amsterdam: Academic Press, 2008.
[2] P. Sweeting,
Financial Enterprise Risk Management
, Cambridge: Cambridge University Press, 2011.
RELATED LINKS
Fractional Ornstein-Uhlenbeck Process
(
Wolfram Demonstrations Project
)
Three Alternatives to the Likelihood Maximization for Estimating a Centered Matérn (3/2) Process
(
Wolfram Demonstrations Project
)
PERMANENT CITATION
Grzegorz Szoniec
"
Estimating the Ornstein-Uhlenbeck Process Using Least-Squares Regression
"
http://demonstrations.wolfram.com/EstimatingTheOrnsteinUhlenbeckProcessUsingLeastSquaresRegres/
Wolfram Demonstrations Project
Published: March 28, 2014
Share:
Embed Interactive Demonstration
New!
Just copy and paste this snippet of JavaScript code into your website or blog to put the live Demonstration on your site.
More details »
Download Demonstration as CDF »
Download Author Code »
(preview »)
Files require
Wolfram
CDF Player
or
Mathematica
.
Related Demonstrations
More by Author
Stable Lévy Process
Andrzej Kozlowski
Simulating the Branching Process
Heikki Ruskeepää
The Return Distribution of the Variance Gamma Process
Andrzej Kozlowski
Simulating a Normal Process from Sums of Uniform Distributions
Jim Gerdy
Auto-Regressive Simulation (Second-Order)
David von Seggern (University of Nevada)
Distributions Using Slice Sampling
Oliver K. Ernst
Correlated Wiener Processes
Andrzej Kozlowski
Entropy of a Message Using Random Variables
Daniel de Souza Carvalho
Two Jump Diffusion Processes
Andrzej Kozlowski
Using Rule 30 to Generate Pseudorandom Real Numbers
Chris Boucher
Related Topics
Probability
Random Processes
Browse all topics
Note: To run this Demonstration you need Mathematica 7+ or the free Mathematica Player 7EX
Download or upgrade to
Mathematica Player 7EX
I already have
Mathematica Player
or
Mathematica 7+