Teamah, A., El-Hadidy, M., El-Ghoul, M. (2016). The truncated distribution of the range for a Wiener process: Application to the stock price. test, 37(1), 21-40. doi: 10.21608/djs.2016.139915
Abd El-Moneim A. Teamah; Mohamed A. El-Hadidy; Maraw M. El-Ghoul. "The truncated distribution of the range for a Wiener process: Application to the stock price". test, 37, 1, 2016, 21-40. doi: 10.21608/djs.2016.139915
Teamah, A., El-Hadidy, M., El-Ghoul, M. (2016). 'The truncated distribution of the range for a Wiener process: Application to the stock price', test, 37(1), pp. 21-40. doi: 10.21608/djs.2016.139915
Teamah, A., El-Hadidy, M., El-Ghoul, M. The truncated distribution of the range for a Wiener process: Application to the stock price. test, 2016; 37(1): 21-40. doi: 10.21608/djs.2016.139915

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, Pages 21-40    PDF (1.56 M)
Document Type: Research and Reference
DOI: 10.21608/djs.2016.139915
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
Statistics
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