Stochastic Models for Stock Price Fluctuations

01/09/1974

Stochastic Models for Stock Price Fluctuations

Rangan A and Kalro A H

Working Papers

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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).

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