Nonclassical random walks and the phenomenology of fluctuations of securities returns in the stock market

2011 ◽  
Vol 181 (7) ◽  
pp. 774 ◽  
Author(s):  
Pavel V. Vidov ◽  
Mikhail Yu. Romanovsky
Keyword(s):  
Stock Market ◽  
Random Walks ◽  
Securities Returns

scholarly journals Is a tick an elementary jump in a random walks scheme on the stock market?

2010 ◽  
Vol 2 (2) ◽  
pp. 219-223
Author(s):  
Mikhail Yur'evich Romanovsky ◽  
Pavel Victorovich Vidov ◽  
Vladimir Andreevich Pyrkin
Keyword(s):  
Stock Market ◽  
Random Walks

scholarly journals Random Walks in Stock Market Prices

1965 ◽  
Vol 21 (5) ◽  
pp. 55-59 ◽  
Author(s):  
Eugene F. Fama
Keyword(s):  
Stock Market ◽  
Random Walks ◽  
Market Prices

scholarly journals Random Walks in Stock Market Prices

1995 ◽  
Vol 51 (1) ◽  
pp. 75-80 ◽  
Author(s):  
Eugene F. Fama
Keyword(s):  
Stock Market ◽  
Random Walks ◽  
Market Prices

Fundamentals of Financial Markets

2017 ◽  
Author(s):  
Didier Sornette
Keyword(s):  
Random Walk ◽  
Stock Market ◽  
Random Walks ◽  
Efficient Market Hypothesis ◽  
Standard View ◽  
Expected Return ◽  
Market Prices ◽  
Trade Off ◽  
Arbitrage Opportunities ◽  
Informed Traders

This chapter discusses the fundamental characteristics and properties of stock markets and the way prices vary from one instant to the next. It first introduces the standard view about price variations and returns on the stock market, using a simple toy model to illustrate why arbitrage opportunities (the possibility to get a “free lunch”) are often washed out by the intelligent investment of informed traders, giving rise to the concept of the efficient stock market. It then considers the efficient market hypothesis in relation to random walk by analyzing Louis Bachelier's thesis that the trajectories of stock market prices are identical to random walks. It also examines how information is incorporated in prices, thus destroying potential “free lunches.” Finally, it explains the trade-off between risk and expected return.

Threshold random walks in the US stock market

2008 ◽  
Vol 37 (1) ◽  
pp. 43-48 ◽  
Author(s):  
Zisimos Koustas ◽  
Jean-François Lamarche ◽  
Apostolos Serletis
Keyword(s):  
Stock Market ◽  
Random Walks ◽  
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