Derivation of Probability Density Functions for the Relative Differences in the Standard and Poor's 100 Stock Index Over Various Intervals of Time

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In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means. The density functions allow stock market participants trading index options and futures contracts on the S & P 100 Stock Index ... continued below

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v, 38 leaves

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Bunger, R. C. (Robert Charles) August 1988.

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  • Bunger, R. C. (Robert Charles)

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Description

In this study a two-part mixed probability density function was derived which described the relative changes in the Standard and Poor's 100 Stock Index over various intervals of time. The density function is a mixture of two different halves of normal distributions. Optimal values for the standard deviations for the two halves and the mean are given. Also, a general form of the function is given which uses linear regression models to estimate the standard deviations and the means.
The density functions allow stock market participants trading index options and futures contracts on the S & P 100 Stock Index to determine probabilities of success or failure of trades involving price movements of certain magnitudes in given lengths of time.

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v, 38 leaves

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UNT Theses and Dissertations

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  • August 1988

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  • July 22, 1983 - February 1988

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  • Aug. 22, 2014, 6 p.m.

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  • Dec. 11, 2015, 1:08 p.m.

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Bunger, R. C. (Robert Charles). Derivation of Probability Density Functions for the Relative Differences in the Standard and Poor's 100 Stock Index Over Various Intervals of Time, dissertation, August 1988; Denton, Texas. (digital.library.unt.edu/ark:/67531/metadc330882/: accessed September 19, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; .