25 May 2004 Motion in random fields: an application to stock market data
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Proceedings Volume 5471, Noise in Complex Systems and Stochastic Dynamics II; (2004) https://doi.org/10.1117/12.556444
Event: Second International Symposium on Fluctuations and Noise, 2004, Maspalomas, Gran Canaria Island, Spain
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.
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James P. Gleeson, James P. Gleeson, } "Motion in random fields: an application to stock market data", Proc. SPIE 5471, Noise in Complex Systems and Stochastic Dynamics II, (25 May 2004); doi: 10.1117/12.556444; https://doi.org/10.1117/12.556444
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