On the pattern recognition of Verhulst-logistic Itô Processes in Market Price Data.
Date
2011
Authors
Onyango, Silas
Journal Title
Journal ISSN
Volume Title
Publisher
Strathmore university
Abstract
We introduce a highly error resistant method of extracting Itô processes as applied to market data. This
method is inspired by an AI method known as Hough transforms (HT). The HT method has been used in
extracting geometric shape patterns from noisy and corrupted image data. We use this method to extract
simultaneously logistic geometric Brownian motion trends from simulated price histories data. It turns out
that this approach is an effective method of extracting market processes for both simulated and real-world
market price data.
Key words: Itô processes
Description
Keywords
Itô processes