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Article #141

Want statistical data (not prices) on equities

#141
From: Mark Hughes
Date: Tue, 08 Sep 1992 13:09
26 lines
1498 bytes
I want information on the probability distribution of equity
price changes, and how this distribution varies with time.
In other words, I want to see plots of p(c) versus c (or equations
relating them) where p(c) is the probability that the price
of an equity will change by an amount c in time T. I'd also
like to know how p(c) varies with T.

Why do I want this? I'm trying to produce a model for
the intrinsic value of an equity option, i.e. ignoring
factors such as market trends, option supply and demand etc.
This is just for fun, by the way. My first attempt
used a simple triangular p(c) and produced some interesting,
if not wildly incorrect results, so I'd like to try again with
something more realistic.

NOTE: PLEASE EMAIL RESPONSES AS I DO NOT RECEIVE THIS GROUP !

Any relevant information will be appreciated, thanks

Mark
mrh@camcon.co.uk
-- 
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|   Mark Hughes  | Tel: (int +44) (0)223 420024  Cambridge Consultants Ltd. 
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Path: arc1-ca.pugleaf.net!sparky!uunet!mcsun!uknet!acorn!camcon!mrh
From: mrh@camcon.co.uk (Mark Hughes)
Newsgroups: sci.misc,sci.econ
Subject: Want statistical data (not prices) on equities
Keywords: statistics equities
Message-ID: <23763@io.camcon.co.uk>
Date: 8 Sep 92 13:09:05 GMT
Organization: Cambridge Consultants Ltd., Cambridge, UK
Lines: 26