Abstract
Models of stock price fluctuations based on simple random walks do not agree with empirical stock price data. We point out an analogy with motion in a one-dimensional random field which generalizes the stock dynamics to include random dependence on the current price in a natural way. Results of an analytically tractable limit are presented, demonstrating that some of the characteristics of real stock data may be reproduced by such models. Shortcomings of the model are noted, and a numerical simulation method for extension beyond the analytically tractable case is presented.
Original language | English |
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Pages (from-to) | 612-623 |
Number of pages | 12 |
Journal | Proceedings of SPIE - The International Society for Optical Engineering |
Volume | 5471 |
DOIs | |
Publication status | Published - 2004 |
Externally published | Yes |
Event | Noise in Complex Systems and Stochastic Dynamics II - Maspalomas Duration: 26 May 2004 → 28 May 2004 |
Keywords
- Dispersion
- Dynamical disorder
- Lagrangian velocity
- Non-Gaussian distributions
- Stock price dynamics