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Proceedings Paper

Motion in random fields: an application to stock market data
Author(s): James P. Gleeson
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Paper 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.

Paper Details

Date Published: 25 May 2004
PDF: 12 pages
Proc. SPIE 5471, Noise in Complex Systems and Stochastic Dynamics II, (25 May 2004); doi: 10.1117/12.556444
Show Author Affiliations
James P. Gleeson, Univ. College Cork (Ireland)


Published in SPIE Proceedings Vol. 5471:
Noise in Complex Systems and Stochastic Dynamics II
Zoltan Gingl, Editor(s)

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