Logo PUC-Rio Logo Maxwell
TRABALHOS DE FIM DE CURSO @PUC-Rio
Consulta aos Conteúdos
Título: STOCHASTIC PROCESSES LIBRARY IN. NET ENVIRONMENT APPLIED TO PRICES ESTIMATION OF COMMODITIES
Autor(es): RAFAEL CARAM ASSEMANY MOREIRA
Colaborador(es): JUAN GUILLERMO LAZO LAZO - Orientador
Catalogação: 18/MAI/2009 Língua(s): PORTUGUESE - BRAZIL
Tipo: TEXT Subtipo: SENIOR PROJECT
Notas: [pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio.
[en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio.
Referência(s): [pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=13516@1
[en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=13516@2
DOI: https://doi.org/10.17771/PUCRio.acad.13516
Resumo:
This paper describes the creation of a library in .NET environment (C #) of stochastic processes dedicated to the study of commodities, among the existing processes were implemented the methods Geometric Brownian Motion and Mean Reversion. The work uses of evolutionary computing to the estimation of the parameters that are used in implemented procedures. To test the distributions generated by the process was used Goodness of fit Kolgomorov-Smirinov test. The work is also an analysis of commodity soybean, using an application created with the library.
Descrição: Arquivo:   
COMPLETE PDF