A stylized model of ‘Momentum’ processes / S. Bandyopadhyay in Journal of the operational research society (JORS), Vol. 61 N° 6 (Juin 2010)  

Public ISBD [article]  inJournal of the operational research society (JORS) > Vol. 61 N° 6 (Juin 2010) . - pp. 1057–1062 Titre : A stylized model of ‘Momentum’ processes : a research note Type de document : texte imprimé Auteurs : S. Bandyopadhyay, Auteur Année de publication : 2011 Article en page(s) : pp. 1057–1062 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Momentum processes Correlated random walk Quasi-birth-death process Transient analysis Index. décimale : 001.424 Résumé : Several phenomena of interest like stock price movements, online auction bid prices or inventory levels, can be stylized as ‘momentum processes’, whereby the very start of activity (‘up’ or ‘down’) can trigger subsequent activity in that direction. We calculate the transient probabilities of being in a particular state (eg, stock price or current auction bid level) in such activities. The calculations can be used to estimate the expected time to reach a certain price, inventory level or bid. The processes can be modified to show the phenomenon where the lack of activity can have an ‘inertia of rest’. DEWEY : 001.424 ISSN : 0361-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n6/abs/jors200946a.html [article] A stylized model of ‘Momentum’ processes : a research note [texte imprimé] / S. Bandyopadhyay, Auteur . - 2011 . - pp. 1057–1062. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 61 N° 6 (Juin 2010) . - pp. 1057–1062 Mots-clés : Momentum processes Correlated random walk Quasi-birth-death process Transient analysis Index. décimale : 001.424 Résumé : Several phenomena of interest like stock price movements, online auction bid prices or inventory levels, can be stylized as ‘momentum processes’, whereby the very start of activity (‘up’ or ‘down’) can trigger subsequent activity in that direction. We calculate the transient probabilities of being in a particular state (eg, stock price or current auction bid level) in such activities. The calculations can be used to estimate the expected time to reach a certain price, inventory level or bid. The processes can be modified to show the phenomenon where the lack of activity can have an ‘inertia of rest’. DEWEY : 001.424 ISSN : 0361-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v61/n6/abs/jors200946a.html

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