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A Model for Stock Price Fluctuations Based on Information
"... This paper is dedicated to the memory of my dear friend Aaron Wyner, the well-known information theorist. Abstract—I present a new model for stock price fluctuations based on a concept of “information. ” In contrast, the usual Black–Scholes–Merton–Samuelson model is based on the explicit assumption ..."
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This paper is dedicated to the memory of my dear friend Aaron Wyner, the well-known information theorist. Abstract—I present a new model for stock price fluctuations based on a concept of “information. ” In contrast, the usual Black–Scholes–Merton–Samuelson model is based on the explicit assumption
A Percolation Model of Stock Price Fluctuations
"... It is widely known that distributions of stock-price fluctuations show afat tails.” This report explains the fat-tail distributions as aresult of local interaction be-tween traders of bounded sight. Percolation theory, atheory of statistical physics, is employed to model the markets. It enables us n ..."
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Cited by 6 (0 self)
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It is widely known that distributions of stock-price fluctuations show afat tails.” This report explains the fat-tail distributions as aresult of local interaction be-tween traders of bounded sight. Percolation theory, atheory of statistical physics, is employed to model the markets. It enables us
A Model for Stock Price Fluctuations Based on Information
, 2002
"... . This paper is dedicated to the memory of Aaron Wyner, the well known information theorist. It gives a new model for stock price fluctuations based on a concept of "information ". In contrast, the usual Black-Scholes-Merton-Samuelson model is based on the explicit assumption that inform ..."
Abstract
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Cited by 7 (0 self)
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. This paper is dedicated to the memory of Aaron Wyner, the well known information theorist. It gives a new model for stock price fluctuations based on a concept of "information ". In contrast, the usual Black-Scholes-Merton-Samuelson model is based on the explicit assumption
Roughness and Finite Size Effect in the NYSE Stock-Price Fluctuations
, 2006
"... Abstract. We consider the roughness properties of NYSE (New York Stock Exchange) stock-price fluctuations. The statistical properties of the data are relatively homogeneous within the same day but the large jumps between different days prevent the extension of the analysis to large times. This leads ..."
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Abstract. We consider the roughness properties of NYSE (New York Stock Exchange) stock-price fluctuations. The statistical properties of the data are relatively homogeneous within the same day but the large jumps between different days prevent the extension of the analysis to large times
Oil Price volatility and stock price fluctuation in an emerging market: Evidence from South Korea.” Energy Economics 33
, 2011
"... How important are oil price fluctuations and oil price volatility on equity market performance? What are the policy implications if volatility turns out to be significant? We assess this issue in an economics/finance nexus for Korea using a VEC model including interest rates, economic activity, rea ..."
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Cited by 6 (0 self)
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How important are oil price fluctuations and oil price volatility on equity market performance? What are the policy implications if volatility turns out to be significant? We assess this issue in an economics/finance nexus for Korea using a VEC model including interest rates, economic activity
The Behaviour of Stock Market Prices
- Journal of Business
, 1965
"... prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtai ..."
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Cited by 1210 (3 self)
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prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at
Liquidity Risk and Expected Stock Returns
, 2002
"... This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-sto ..."
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Cited by 629 (6 self)
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This study investigates whether market-wide liquidity is a state variable important for asset pricing. We find that expected stock returns are related cross-sectionally to the sensitivities of returns to fluctuations in aggregate liquidity. Our monthly liquidity measure, an average of individual-stock
Option pricing when underlying stock returns are discontinuous
- Journal of Financial Economics
, 1976
"... The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying ..."
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Cited by 1001 (3 self)
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The validity of the classic Black-Scholes option pricing formula dcpcnds on the capability of investors to follow a dynamic portfolio strategy in the stock that replicates the payoff structure to the option. The critical assumption required for such a strategy to be feasible, is that the underlying
unknown title
, 1209
"... Hierarchical structure of stock price fluctuations in financial markets ..."
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