Investigating the Performance of Stochastic Processes in Modeling the Savings Deposits

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

FALLAHPOUR SAEID; Jelodary Mamaqani Mohammad; Dehghani Amadabad mohammadreza

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2019 | Volume:10 | Issue:39 Page(s): 295-325

Download Full-Text

Persian Verion

View:

587

Download:

Cites:

Information Journal Paper

Title

Investigating the Performance of Stochastic Processes in Modeling the Savings Deposits

Author(s)

FALLAHPOUR SAEID | Jelodary Mamaqani Mohammad | Dehghani Amadabad mohammadreza | Issue Writer Certificate

Keywords

DepositQ1

RiskQ2

mean revertingQ1

heavy tail JEL Classification:G17Q1

G21Q1

G32Q1

Abstract

One of the most important actions on Risk management is to obtain correct and rigorous information from the nature of the time series which are known as Risk drivers. In this paper we introduce a model for interest free Deposits using stochastic processes. To this end we use the geometric Brownian motion, jump-diffusion, Cox-Ingersol-Ross and mean-reversion models. Also to develop the approach we decompose the volatility of the time series into deterministic and stochastic parts and model the stochastic part only. The deterministic part is the sum of trend line and periodic cycles. We observe that after estimation of parameters and model calibration, the results are consistent with initial expectations which are as follows: The performance of the models increases with separation of deterministic and stochastic parts. Although at the same time the phenomenon of mean reversion and heavy tail is approved, but, Cox-Ingersol-Ross model show a better behavior than jump-diffusion model. Finally the man-reversion and Jump-diffusion models have better performance than other models.

Cites

No record.

References

No record.

Cite

APA: Copy

FALLAHPOUR, SAEID, Jelodary Mamaqani, Mohammad, & Dehghani Amadabad, mohammadreza. (2019). Investigating the Performance of Stochastic Processes in Modeling the Savings Deposits. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 10(39 ), 295-325. SID. https://sid.ir/paper/406433/en

Vancouver: Copy

FALLAHPOUR SAEID, Jelodary Mamaqani Mohammad, Dehghani Amadabad mohammadreza. Investigating the Performance of Stochastic Processes in Modeling the Savings Deposits. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2019;10(39 ):295-325. Available from: https://sid.ir/paper/406433/en

IEEE: Copy

SAEID FALLAHPOUR, Mohammad Jelodary Mamaqani, and mohammadreza Dehghani Amadabad, “Investigating the Performance of Stochastic Processes in Modeling the Savings Deposits,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 10, no. 39 , pp. 295–325, 2019, [Online]. Available: https://sid.ir/paper/406433/en

Related Journal Papers