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Regime-Switching Geometric Brownian Motion Process

The dataset used in this paper is a regime-switching geometric Brownian motion process with two distinct regimes (bullish and bearish markets) with parameter values for each regime as ρ1 = 0.14, ς = 0.16 ρ = -0.01, ς = 0.2.

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Cite this as

Peyman Alipoura, Ali Foroush Bastani (2024). Dataset: Regime-Switching Geometric Brownian Motion Process. https://doi.org/10.57702/mxy4z3g5

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Additional Info

Field	Value
Created	December 3, 2024
Last update	December 3, 2024
Defined In	https://doi.org/10.48550/arXiv.2305.12539
Author	Peyman Alipoura
More Authors	Ali Foroush Bastani