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On Modelling Speculative Prices: The Empirical Literature


  • Andreou, Elena
  • Pittis, Nikitas
  • Spanos, Aris


Traditionally, financial theory and in particular asset pricing models have assumed (implicitly or explicitly) a certain probabilistic structure for speculative prices. The probabilistic structure is usually defined in terms of specific statistical models and relates to the dependence, heterogeneity and the distribution of such prices. The primary objective of this paper is to trace the development of various statistical models proposed since Bachelier (1900), in an attempt to assess how well these models capture the empirical regularities exhibited by data on speculative prices. Copyright 2001 by Blackwell Publishers Ltd

Suggested Citation

  • Andreou, Elena & Pittis, Nikitas & Spanos, Aris, 2001. " On Modelling Speculative Prices: The Empirical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 15(2), pages 187-220, April.
  • Handle: RePEc:bla:jecsur:v:15:y:2001:i:2:p:187-220

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    Cited by:

    1. Wally Tzara, 2018. "The Evolution of Security Prices Is Not Stochastic but Governed by a Physicomathematical Law," Papers 1807.10114,, revised Jul 2019.
    2. Scheicher, Martin, 2008. "How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches," Working Paper Series 910, European Central Bank.
    3. Kostyantyn MALYSHENKO & Vadim MALYSHENKO & Elena Yu. PONOMAREVA & Marina ANASHKINA, 2019. "Analysis of the stock market anomalies in the context of changing the information paradigm," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 239-270, June.
    4. Paulo Ferreira & Luís Carlos Loures, 2020. "An Econophysics Study of the S&P Global Clean Energy Index," Sustainability, MDPI, Open Access Journal, vol. 12(2), pages 1-9, January.
    5. Ekaterini Tsouma, 2007. "Stock return dynamics and stock market interdependencies," Applied Financial Economics, Taylor & Francis Journals, vol. 17(10), pages 805-825.

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