scholarly journals The voice of Physics in finance: A glance on the theoretical application of heat equation to stock price diffusions

2021 ◽  
Vol 4 (1) ◽  
Author(s):  
Leonard Mushunje
Keyword(s):  
Brownian Motion ◽  
Heat Equation ◽  
Stock Prices ◽  
Stock Price ◽  
Price Volatility ◽  
Heat Diffusion ◽  
Motion Model ◽  
Asset Valuation ◽  
Brownian Motion Model ◽  
Theoretical Application

Stock price volatility is considered the main matter of concern within the investment grounds. However, the diffusivity of these prices should as well be considered. As such, proper modelling should be done for investors to stay healthy-informed. This paper suggest to model stock price diffusions using the heat equation from physics. We hypothetically state that, our model captures and model the diffusion bubbles of stock prices with a better precision of reality. We compared our model with the standard geometric Brownian motion model which is the wide commonly used stochastic differential equation in asset valuation. Interestingly, the models proved to agree as evidenced by a bijective relation between the volatility coefficients of the Brownian motion model and the diffusion coefficients of our heat diffusion model as well as the corresponding drift components. Consequently, a short proof for the martingale of our model is done which happen to hold. 

OPTION PRICING FOR PROCESSES DRIVEN BY MIXED FRACTIONAL BROWNIAN MOTION WITH SUPERIMPOSED JUMPS

2015 ◽  
Vol 29 (4) ◽  
pp. 589-596 ◽  
Author(s):  
B.L.S. Prakasa Rao
Keyword(s):  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Stock Price ◽  
Option Price ◽  
Motion Model ◽  
Price Process ◽  
European Call Option ◽  
Mixed Fractional Brownian Motion ◽  
Special Cases ◽  
Brownian Motion Model

We propose a geometric mixed fractional Brownian motion model for the stock price process with possible jumps superimposed by an independent Poisson process. Option price of the European call option is computed for such a model. Some special cases are studied in detail.

scholarly journals Mathematical Model of Stock Prices via a Fractional Brownian Motion Model with Adaptive Parameters

2014 ◽  
Vol 2014 ◽  
pp. 1-6 ◽  
Author(s):  
Tidarut Areerak
Keyword(s):  
Mathematical Model ◽  
Brownian Motion ◽  
Fractional Brownian Motion ◽  
Stock Prices ◽  
Motion Model ◽  
Adaptive Parameters ◽  
Company Limited ◽  
Public Company ◽  
Proposed Model ◽  
Brownian Motion Model

The paper presents a mathematical model of stock prices using a fractional Brownian motion model with adaptive parameters (FBMAP). The accuracy index of the proposed model is compared with the Brownian motion model with adaptive parameters (BMAP). The parameters in both models are adapted at any time. The ADVANC Info Service Public Company Limited (ADVANC) and Land and Houses Public Company Limited (LH) closed prices are concerned in the paper. The Brownian motion model with adaptive parameters (BMAP) and fractional Brownian motion model with adaptive parameters (FBMAP) are applied to identify ADVANC and LH closed prices. The simulation results show that the FBMAP is more suitable for forecasting the ADVANC and LH closed price than the BMAP.

Znaczenie czynników behawioralnych w podejmowaniu decyzji inwestycyjnych na rynku kapitałowym

2016 ◽  
pp. 173-183
Author(s):  
Mirosław Wasilewski ◽  
Marta Juszczyk
Keyword(s):  
Capital Market ◽  
Stock Prices ◽  
Stock Price ◽  
Investment Decisions ◽  
Price Volatility ◽  
Decision Making Process ◽  
Emotional States ◽  
Psychological Conditions ◽  
History Of ◽  
Research Show

The aim of the study was to investigate the investors’ opinions concerning the usefulness of behavioral factors for investment decisions. The research was carried out in the group of 100 investors, using the services of five brokerages with a long history of operation. The results of the research show that people’s psychological conditions and sentiment in the stock market play an important role in the decision-making process of investors in the capital market. The importance of this factor increased with the length of the investment period. The emotional states of people and their psychological conditions affect the stock price volatility. However, the complexity of the determinants of stock prices makes the market value of stocks can be affected by many factors at the same time and investors seem aware of this.

Self-avoiding random walk: A Brownian motion model with local time drift

1987 ◽  
Vol 74 (2) ◽  
pp. 271-287 ◽  
Author(s):  
J. R. Norris ◽  
L. C. G. Rogers ◽  
David Williams
Keyword(s):  
Brownian Motion ◽  
Random Walk ◽  
Local Time ◽  
Motion Model ◽  
Time Drift ◽  
Brownian Motion Model

scholarly journals Blue Straggler Bimodality: A Brownian Motion Model

2018 ◽  
Vol 867 (2) ◽  
pp. 163 ◽  
Author(s):  
Mario Pasquato ◽  
Paolo Miocchi ◽  
Suk-Jin Yoon
Keyword(s):  
Brownian Motion ◽  
Motion Model ◽  
Blue Straggler ◽  
Brownian Motion Model

THE KRAMERS TURNOVER PROBLEM: RECROSSING EFFECTS AND THE ENERGY DIFFUSION DESCRIPTION OF THERMAL ACTIVATION

1989 ◽  
Vol 03 (14) ◽  
pp. 1093-1099 ◽  
Author(s):  
H. DEKKER
Keyword(s):  
Spectral Analysis ◽  
Brownian Motion ◽  
Thermal Activation ◽  
Phase Space Density ◽  
Potential Well ◽  
Motion Model ◽  
Action Variable ◽  
Energy Diffusion ◽  
Metastable Potential ◽  
Brownian Motion Model

Kramers' Brownian motion model for escape from a metastable potential well is reconsidered in terms of the particle's energy and the action variable near the peak of the barrier. The pertinent phase space density ρ(ε, s) is uniquely determined (i) by means of a spectral analysis and (ii) upon specifying the energy distribution of (re-)entering particles. The ensuing decay rate Γ goes to zero in the low as well as in the high friction limit according to Kramers' original formulae. The nature of the intermediate turnover regime is critically discussed — and a comparison with related recent work by Büttiker, Harris and Landauer, Mel'nikov and Meshkov, and Grabert is made — while a problem with the underlying density is pointed out.

scholarly journals Evaluation of an iron ore price forecast using a geometric Brownian motion model

2019 ◽  
Vol 72 (1 suppl 1) ◽  
pp. 9-15 ◽  
Author(s):  
André Lubene Ramos ◽  
Douglas Batista Mazzinghy ◽  
Viviane da Silva Borges Barbosa ◽  
Michel Melo Oliveira ◽  
Gilberto Rodrigues da Silva
Keyword(s):  
Brownian Motion ◽  
Iron Ore ◽  
Geometric Brownian Motion ◽  
Motion Model ◽  
Price Forecast ◽  
Brownian Motion Model
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