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Stochastic Models for Stock Price Fluctuations

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  • Rangan A
  • Kalro A H

Abstract

Two models for the stock price fluctuations are proposed. Defining a stochastic integral Y(t) for the cumulative stock price change, the first model deals with the transformed solution of the probability density function of Y(t). Introducing the serial dependence of the inputs, a semi-Markov model is proposed for the stock price fluctuations. The moments of Y(t) are obtained from an integral equation for the characteristic function of Y(t).

Suggested Citation

  • Rangan A & Kalro A H, 1974. "Stochastic Models for Stock Price Fluctuations," IIMA Working Papers WP1974-09-01_00129, Indian Institute of Management Ahmedabad, Research and Publication Department.
    • Handle: RePEc:iim:iimawp:wp00129
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    Cited by:

    1. John Kleppe & Peter Borm & Ruud Hendrickx, 2013. "Fall back equilibrium for $$2 \times n$$ bimatrix games," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 78(2), pages 171-186, October.

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