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Analysis of a Stepwise Investment Strategy based on Short-term Property of Individual Stocks : 개별 주식의 단기 기억 특성에 기반한 단계별 투자 전략의 분석
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.advisor | 최형인 | - |
| dc.contributor.author | 이시형 | - |
| dc.date.accessioned | 2017-07-19T09:00:09Z | - |
| dc.date.available | 2017-07-19T09:00:09Z | - |
| dc.date.issued | 2014-08 | - |
| dc.identifier.other | 000000021695 | - |
| dc.identifier.uri | https://hdl.handle.net/10371/131488 | - |
| dc.description | 학위논문 (석사)-- 서울대학교 대학원 : 수리과학부, 2014. 8. 최형인. | - |
| dc.description.abstract | `Stepwise Investment Strategy' based on `Short-term Memory' property of individual stocks is devised and the validity of `Stepwise Investment Strategy' is checked by applying it to individual stocks & Kospi200 index. | - |
| dc.description.tableofcontents | Abstract
1. Introduction 2. Geometric Brownian Motion & Memoryless Property 2.1 Geometric Brownian Motion 2.2 Geometric Brownian Motion with Jump Diffusion 2.3 Memoryless Property 3. Stepwise Investment Strategy & Its Applications 3.1 Notations & Explanations 3.2 Testing Signals & Results 3.3 Structure of Stepwise Investment Strategy & Remarks 3.4 Result of SIS Applied to Individual Stocks 3.5 Result of SIS Applied to Kospi200 Index 4. Conclusion References 국문초록 | - |
| dc.format | application/pdf | - |
| dc.format.extent | 2581973 bytes | - |
| dc.format.medium | application/pdf | - |
| dc.language.iso | en | - |
| dc.publisher | 서울대학교 대학원 | - |
| dc.subject | Geometric Brownian Motion | - |
| dc.subject | Memoryless Property | - |
| dc.subject | Stepwise Investment Strategy | - |
| dc.subject | Short-term Memory Property | - |
| dc.subject.ddc | 510 | - |
| dc.title | Analysis of a Stepwise Investment Strategy based on Short-term Property of Individual Stocks | - |
| dc.title.alternative | 개별 주식의 단기 기억 특성에 기반한 단계별 투자 전략의 분석 | - |
| dc.type | Thesis | - |
| dc.description.degree | Master | - |
| dc.citation.pages | XXXII, 32 | - |
| dc.contributor.affiliation | 자연과학대학 수리과학부 | - |
| dc.date.awarded | 2014-08 | - |
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