Share price movements as non-independent continuous-time random walk

Tomasz Gubiec 1Ryszard Kutner 2

1. Uniwersytet Warszawski, Wydział Fizyki, Instytut Fizyki Doswiadczalnej, Zakład Dydaktyki Fizyki, Smyczkowa 5/7, Warszawa 02-678, Poland
2. Warsaw University, Faculty of Physics, Hoża 69, Warszawa 00-681, Poland

Abstract

Simple model of share price evolution which is an extension of Kehr-Kutner-Binder model and Masoliver-Montero-Perello one is presented. Assumptions of the model are tested by using the market empirical data. Already in the simplest, exact solvable case, the model can reproduce some empirical facts, for example, the velocity auto-correlation function (vacf) however, the problem of existing the fat tail in the nonlinear vacf is still an open one.

 

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Presentation: Oral at 4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", by Tomasz Gubiec
See On-line Journal of 4 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2009-03-31 00:31
Revised:   2009-06-07 00:48