Motion in random fields - An application to stock market data

Research output: Contribution to journalConference articlepeer-review

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 languageEnglish
Pages (from-to)612-623
Number of pages12
JournalProceedings of SPIE - The International Society for Optical Engineering
Volume5471
DOIs
Publication statusPublished - 2004
Externally publishedYes
EventNoise in Complex Systems and Stochastic Dynamics II - Maspalomas
Duration: 26 May 200428 May 2004

Keywords

  • Dispersion
  • Dynamical disorder
  • Lagrangian velocity
  • Non-Gaussian distributions
  • Stock price dynamics

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