IDEAS home Printed from https://ideas.repec.org/p/arx/papers/cond-mat-0311646.html
   My bibliography  Save this paper

Motion in random fields - an application to stock market data

Author

Listed:
  • James P. Gleeson

Abstract

A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical and numerical results for this model in a special limiting case of a single-scale field show characteristics similar to those found in empirical studies of stock market data. Specifically, short-term returns have a non-Gaussian distribution, with super-diffusive volatility, and a fast-decaying correlation function. The correlation function of the absolute value of returns decays as a power-law, and the returns distribution converges towards Gaussian over long times. Some important characteristics of empirical data are not, however, reproduced by the model, notably the scaling of tails of the cumulative distribution function of returns.

Suggested Citation

  • James P. Gleeson, 2003. "Motion in random fields - an application to stock market data," Papers cond-mat/0311646, arXiv.org.
    • Handle: RePEc:arx:papers:cond-mat/0311646
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/cond-mat/0311646
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:cond-mat/0311646. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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 RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.