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: | Cheng Benny N. |
Keywords: | investment, stochastic processes |
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.