Modelling stock price changes

Modelling stock price changes

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Article ID: iaor19952132
Country: Philippines
Volume: 15
Issue: 2
Start Page Number: 35
End Page Number: 40
Publication Date: May 1992
Journal: Matimya Matematika
Authors:
Keywords: investment, stochastic processes
Abstract:

Stock prices have been observed to follow a random pattern of ups and downs through time. One is therefore led naturally to the use of Brownian motion as a model of stock price movements. The article shows, however, that even Gaussian stochastic processes fail to provide an accurate description of such movements. The paper discusses a levy-stable process which is shown to be a good model of stock price changes.

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