DESCRIPTION OF THE LAW OF DISTRIBUTION OF THE LOGISTIC YIELD OF SHARES BY A MIXTURE OF DISTRIBUTIONS

UDC 519.213: 5177
DOI: 10.36871/2618-9976.2022.01.002

Authors

Krivolapov S.Ya.
Candidate of Physicomathematical Science, Assistant Professor Department of Mathematics, Financial University under Government of Russian Federation, Moscow, Russia

Abstract

According to the results of fitting data on stock quotes of 216 Russian companies, nine distribution laws were identified, which in a certain sense "best" approximate the distribution law of logistic yield. As a general law of distribution of logistic returns, suitable for describing the data of an arbitrary company, the article proposes a mixture of nine identified distribution laws. The optimal choice of the coefficients of the mixture terms was carried out by solving the problem of finding a conditional extremum using the least squares method.

Keywords

Fitting distributions, Logarithmic returns, Conditional optimization