Suppose that a stock's daily log price follows a Random Walk 1 with drift. If we observe a series of realized log prices Po P1, Pn, we can compute the average of the price increments to estimate the drift, i.e. *** A==-=1(Pk-PK-1).
Suppose that a stock's daily log price follows a Random Walk 1 with drift. If we observe a series of realized log prices Po P1, Pn, we can compute the average of the price increments to estimate the drift, i.e. *** A==-=1(Pk-PK-1).
Chapter6: Exponential And Logarithmic Functions
Section6.8: Fitting Exponential Models To Data
Problem 3TI: Table 6 shows the population, in thousands, of harbor seals in the Wadden Sea over the years 1997 to...
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![Suppose that a stock's daily log price follows a Random Walk 1 with drift. If we observe a series of realized
log prices Po. P1, Pn, we can compute the average of the price increments to estimate the drift, i.e.
****
A==K=1(Pk-Pk-1).
Task: Is it true that: 1/n* (pn-po) is another way to compute the estimator?](/v2/_next/image?url=https%3A%2F%2Fcontent.bartleby.com%2Fqna-images%2Fquestion%2F260c16d8-8235-41e6-a9b4-297e6c7ce531%2F29c72e94-f150-4583-8444-050cef1ae027%2Ffqit6kb_processed.jpeg&w=3840&q=75)
Transcribed Image Text:Suppose that a stock's daily log price follows a Random Walk 1 with drift. If we observe a series of realized
log prices Po. P1, Pn, we can compute the average of the price increments to estimate the drift, i.e.
****
A==K=1(Pk-Pk-1).
Task: Is it true that: 1/n* (pn-po) is another way to compute the estimator?
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