Poisson Process Modeling of Pure Jump Equities on the Ghana Stock Exchange  

作　　者：Osei Antwi Kyere Bright Martinu Issa Osei Antwi;Kyere Bright;Martinu Issa(Mathematics & Statistics Department, Accra Technical University, Accra, Ghana;Accountancy Department, Accra Technical University, Accra, Ghana;Research Department, Fair Wages & Salaries Commission, Accra, Ghana)

机构地区：[1]Mathematics & Statistics Department, Accra Technical University, Accra, Ghana [2]Accountancy Department, Accra Technical University, Accra, Ghana [3]Research Department, Fair Wages & Salaries Commission, Accra, Ghana

出　　处：《Journal of Applied Mathematics and Physics》2022年第10期3101-3120,共20页应用数学与应用物理（英文）

摘　　要：Although Geometric Brownian Motion and Jump Diffusion Models have largely dominated the literature on asset price modeling, studies of the empirical stock price data on the Ghana Stock Exchange have led to the conclusion that there are some stocks in which the return processes consistently depart from these models in theory as well as in its statistical properties. This paper gives a fundamental review of the development of a stock price model based on pure jump processes to capture the unique behavior exhibited by some stocks on the Exchange. Although pure jump processes have been examined thoroughly by other authors, there is a lack of mathematical clarity in terms of deriving the underlying stock price process. This paper provides a link between stock prices existing on a measure space to its development as a pure jump Levy process. We test the suitability of the model to the empirical evidence using numerical procedures. The simulation results show that the trajectories of the model are a better fit for the empirical data than those produced by the diffusion and jump diffusion models.Although Geometric Brownian Motion and Jump Diffusion Models have largely dominated the literature on asset price modeling, studies of the empirical stock price data on the Ghana Stock Exchange have led to the conclusion that there are some stocks in which the return processes consistently depart from these models in theory as well as in its statistical properties. This paper gives a fundamental review of the development of a stock price model based on pure jump processes to capture the unique behavior exhibited by some stocks on the Exchange. Although pure jump processes have been examined thoroughly by other authors, there is a lack of mathematical clarity in terms of deriving the underlying stock price process. This paper provides a link between stock prices existing on a measure space to its development as a pure jump Levy process. We test the suitability of the model to the empirical evidence using numerical procedures. The simulation results show that the trajectories of the model are a better fit for the empirical data than those produced by the diffusion and jump diffusion models.

关 键 词：Poisson Process Pure Jump Process Compound Poisson Process Jump Diffusion 

分 类 号：F42[经济管理—产业经济]