Re: Probability of exceeding a specific value
- From: Randy Poe <poespam-trap@xxxxxxxxx>
- Date: Tue, 18 Sep 2007 08:04:53 -0700
On Sep 18, 10:43 am, grosu <gr...@xxxxxxxxxxxxx> wrote:
As Randy suggested, the price changes at regular intervals. Lets say every T sec/min/hr/days...
The price is likely to go up as it is to go down.
I think I misinterpreted. Is the price normally distributed,
or is the step size normally distributed?
If it's the latter, then Jim Burns has the right approach.
The price after N steps is the sum of N normal random
variables (plus $10). But then your initial question
"what is the probability of price exceeding $13"
doesn't make sense. That probability grows with
time.
The sum of N normal random variables of mean 0 and variance
sigma^2 is a normal rv with mean 0 and variance N*sigma^2.
My simple Bernoulli model won't work for answering the
"how long do you have to wait" question either.
- Randy
.
- Follow-Ups:
- Re: Probability of exceeding a specific value
- From: grosu
- Re: Probability of exceeding a specific value
- References:
- Re: Probability of exceeding a specific value
- From: matt271829-news
- Re: Probability of exceeding a specific value
- From: grosu
- Re: Probability of exceeding a specific value
- Prev by Date: Re: Question about zero divisors in finite rings
- Next by Date: Re: Two results of set geometry
- Previous by thread: Re: Probability of exceeding a specific value
- Next by thread: Re: Probability of exceeding a specific value
- Index(es):
Relevant Pages
|
