Στοχαστικά υποδείγματα ροών σε θέματα χρηματοοικονομικής ανάλυσης
Γεωργαντώνη, Κωνσταντίνα Δ.
In the present dissertation the notion of success runs is presented firstly along with the fields of their application. Next, the random variable , which denotes the waiting time until the occurrence, for the first time, of a sequence of k consecutive successes is analyzed. This random variable, is studied for the case of independent identically distributed (i.i.d.) trials as well as for first order Markov-dependent trials. For both cases, it provides various alternative techniques for establishing the associated distribution, that is to say formulae for the probability mass function, cumulative distribution function and their moments (mean and variance). Then it describes a model of conditional probabilities, which is related to the waiting times of runs of length k, which is subsequently used for identifying the most appropriate time instance for investment action in a stock market share. The model is developed for the two cases of trials.