CHINESE JOURNAL OF APPLIED PROBABILITY AND STATIST 2007, 23(4) 428-433 DOI:      ISSN: 1001-4268 CN: 31-1256

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Keywords
Markov-modulated geometric Brownian motion
Bollinger band
stationary process.
Authors
HUNAG Xudong
Liu Wei
PubMed
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Markov-Modulated Geometric Brownian Motion and Bollinger Bands

HUNAG Xudong, Liu Wei

Department of Statistics, East China Normal University, College of Mathematics and Computer Science, Anhui Normal University

Abstract��

In the stock market, Bollinger bands as a popular technical analysis tool are widely used by traders. There are a lot of models built to forecast the stock price, so it is a significant issue to investigate whether these models have Bollinger band property. Liu, Huang and Zheng (2006) and Liu and Zheng (2006) discussed the Bollinger bands for Black-Scholes model and stochastic volatility model as real stock markets, respectively. The stationarity and the law of large number of the corresponding statistics were proved. In this paper, we extend the above results to the general model of Markov-modulated geometric Brownian motion.

Keywords�� Markov-modulated geometric Brownian motion   Bollinger band   stationary process.  
Received 1900-01-01 Revised 1900-01-01 Online:  
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Corresponding Authors: HUNAG Xudong
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