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Re: st: First passage problem


From   Scott Merryman <scott.merryman@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: First passage problem
Date   Tue, 11 Sep 2012 16:02:38 -0500

It would help if you displayed your program and explained what type of
distribution you want to fit.

Scott


On Tue, Sep 11, 2012 at 8:40 AM, Jason Rosenberg <RSNJAS002@myuct.ac.za> wrote:
> Dear Statalist members
>
> I am trying to write a program to solve the 'First Passage Problem' for geometric brownian motion.
>
> I have obtained my empirical pdf and want to fit a probability distribution to it.
> I have my times and there accociated probabilities, i.e. 7 has a 0.0136452 chance of occuring.
>
> I am desperate for help, I have read much if the literature on the subject but cannot figure out how to apply these methods in Stata.
>
> To view the study I am replecating google: Johansen, A., Simonsen, . I. & Jensen, M. H., 2006. Optimal investment horizons for stocks and markets. Physica A, 370(1), p. 64–67.
>
> Any help would be greatly appreciated.
>
> I would be happy to provide any further explanation on what I require
>
> Kind Regards,
>
> Dalton Rosenberg.

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