Advanced Search
MyIDEAS: Login to save this article or follow this journal

Modelling of stock price changes: A real analysis approach

Contents:

Author Info

  • Rimas Norvaisa

    ()
    (Institute of Mathematics and Informatics, Akademijos 4, LT-2600 Vilnius, Lithuania Manuscript)

Registered author(s):

    Abstract

    In this paper a real analysis approach to stock price modelling is considered. A stock price and its return are defined in a duality to each other provided there exist suitable limits along a sequence of nested partitions of a time interval, mimicking sum and product integrals. It extends the class of stochastic processes susceptible to theoretical analysis. Also, it is shown that extended classical calculus is applicable to market analysis whenever the local 2-variation of sample functions of the return is zero, or is determined by jumps if the process is discontinuous. In particular, an extended Riemann-Stieltjes integral is used in that case to prove several properties of trading strategies.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://link.springer.de/link/service/journals/00780/papers/0004003/00040343.pdf
    Download Restriction: Access to the full text of the articles in this series is restricted

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by Springer in its journal Finance and Stochastics.

    Volume (Year): 4 (2000)
    Issue (Month): 3 ()
    Pages: 343-369

    as in new window
    Handle: RePEc:spr:finsto:v:4:y:2000:i:3:p:343-369

    Note: received: October 1997; final version received: June 1999
    Contact details of provider:
    Web page: http://www.springerlink.com/content/101164/

    Order Information:
    Web: http://link.springer.de/orders.htm

    Related research

    Keywords: continuous-time model; model testing; stock price; return; trading strategy;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Zhang, H.Y. & Bai, L.H. & Zhou, A.M., 2009. "Insurance control for classical risk model with fractional Brownian motion perturbation," Statistics & Probability Letters, Elsevier, vol. 79(4), pages 473-480, February.
    2. Høg, Espen P. & Frederiksen, Per H., 2006. "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application," Finance Research Group Working Papers F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    3. Alessio Sancetta, 2004. "Copula Based Monte Carlo Integration in Financial Problems," Working Papers wp04-02, Warwick Business School, Finance Group.
    4. Gapeev, Pavel V., 2004. "On arbitrage and Markovian short rates in fractional bond markets," Statistics & Probability Letters, Elsevier, vol. 70(3), pages 211-222, December.
    5. Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006 194, Society for Computational Economics.
    6. Xiao, Wei-Lin & Zhang, Wei-Guo & Zhang, Xili & Zhang, Xiaoli, 2012. "Pricing model for equity warrants in a mixed fractional Brownian environment and its algorithm," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(24), pages 6418-6431.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:4:y:2000:i:3:p:343-369. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn) or (Christopher F Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.