Suppose that a stock's daily log price follows a Random Walk 1 with drift. If we observe a series of realizedlog prices Po. P1, Pn, we can compute the average of the price increments to estimate the drift, i.e.****A==K=1(Pk-Pk-1).Task: Is it true that: 1/n* (pn-po) is another way to compute the estimator?

Given information: It is given that a stock’s daily log price follows a Random walk 1 with a drift.

Answered: Suppose that a stock's daily log price…

College Algebra

1st Edition

ISBN:9781938168383

Author:Jay Abramson

Publisher:Jay Abramson

Chapter6: Exponential And Logarithmic Functions

Section6.8: Fitting Exponential Models To Data

Problem 3TI: Table 6 shows the population, in thousands, of harbor seals in the Wadden Sea over the years 1997 to...

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Suppose that a stock's daily log price follows a Random Walk 1 with drift. If we observe a series of realized log prices Po P1, Pn, we can compute the average of the price increments to estimate the drift, i.e. *** A==-=1(Pk-PK-1).