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2010 | 117 | 4 | 669-672
Article title

Share Price Evolution as Stationary, Dependent Continuous-Time Random Walk

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EN
Abstracts
EN
Simple model of share price evolution, which is an extension of Kehr-Kutner-Binder one and Montero-Masoliver models, is presented. The market empirical data inspired the assumptions of the model. The model seems to be the reference one for the study of the short-range correlations in financial data as it considers the observed correlation over two successive jumps of the financial ant.
Keywords
Publisher

Year
Volume
117
Issue
4
Pages
669-672
Physical description
Dates
published
2010-04
Contributors
author
  • Division of Physics Education, Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Hoża 69, 00-681 Warszawa, Poland
author
  • Division of Physics Education, Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Hoża 69, 00-681 Warszawa, Poland
References
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Document Type
Publication order reference
Identifiers
YADDA identifier
bwmeta1.element.bwnjournal-article-appv117n460kz
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