Title of article
A theory of fluctuations in stock prices
Author/Authors
?ngel L. Alejandro-Qui?ones، نويسنده , , Kevin E. Bassler، نويسنده , , Michael Field، نويسنده , , Joseph L. McCauley، نويسنده , , Matthew Nicol، نويسنده , , Ilya Timofeyev، نويسنده , , Andrew T?r?k، نويسنده , , Gemunu H. Gunaratne، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2006
Pages
10
From page
383
To page
392
Abstract
The distribution of price returns is studied for a class of market models with Markovian dynamics. The models have a non-constant diffusion coefficient that depends on the value of the return. An analytical expression for the distribution of returns is obtained, and shown to match the results of computer simulations for two simple cases. Those two cases are shown to have exponential and “fat-tailed” power-law decaying distributions, respectively
Journal title
Physica A Statistical Mechanics and its Applications
Serial Year
2006
Journal title
Physica A Statistical Mechanics and its Applications
Record number
870751
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