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

• Authors: T. Gubiec , R. Kutner
• Languages of publication: 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

EN

02.50.Ey; 02.50.Ga; 05.40.Fb; 02.30.Mv

Discipline

• 02.30.Mv: Approximations and expansions
• 02.50.Ey: Stochastic processes
• 05.40.Fb: Random walks and Levy flights
• 02.50.Ga: Markov processes

• Publisher: Institute of Physics, Polish Academy of Sciences
• Journal: Acta Physica Polonica A
• Year: 2010
• Volume: 117
• Issue: 4
• Pages: 669-672

Dates

published

2010-04

Contributors

author

T. Gubiec

• Division of Physics Education, Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Hoża 69, 00-681 Warszawa, Poland

author

R. Kutner

• Division of Physics Education, Institute of Experimental Physics, Faculty of Physics, University of Warsaw, Hoża 69, 00-681 Warszawa, Poland

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Identifiers

DOI

10.12693/APhysPolA.117.669