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Geometrical (Brownian) Motion Driven by Color Noise

Ryszard Zygadło 

Jagiellonian University, Institute of Physics (IF UJ), Reymonta 4, Kraków 30-059, Poland

Abstract

The evolution of prices on ideal market is given by geometrical Brownian motion, where Gaussian white noise is used to describe fluctuations. We study the effect of correlations introduced by color noise.

 

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Presentation: Oral at 2 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych", Econophysics, by Ryszard Zygadło
See On-line Journal of 2 Ogólnopolskie Sympozjum "Fizyka w Ekonomii i Naukach Społecznych"

Submitted: 2006-03-01 13:18
Revised:   2009-06-07 00:44