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The Time Function of Stock Price

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  • Shengfeng Mei
  • Hong Gao

Abstract

This paper tends to define the quantitative relationship between the stock price and time as a time function. Based on the empirical evidence that the log-return of a stock is the series of white noise, a mathematical model of the integral white noise is established to describe the phenomenon of stock price movement. A deductive approach is used to derive the auto-correlation function, displacement formula and power spectral density of the stock price movement, which reveals not only the characteristics and rules of the movement but also the predictability of the stock price. The deductive fundamental is provided for the price analysis, prediction and risk management of portfolio investment.

Suggested Citation

  • Shengfeng Mei & Hong Gao, 2020. "The Time Function of Stock Price," Papers 2008.11806, arXiv.org, revised Feb 2023.
    • Handle: RePEc:arx:papers:2008.11806
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    References listed on IDEAS

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    1. M. F. M. Osborne, 1959. "Brownian Motion in the Stock Market," Operations Research, INFORMS, vol. 7(2), pages 145-173, April.
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