We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski's path integral model, more precisely we choose a different action, which can be tuned to different time scales. The result is a model with a very small number of parameters that provides very good fits of some stock prices and indices fluctuations.
A model for stocks dynamics based on a non-Gaussian path integral
Paolinelli, Giovanni;Arioli, Gianni
2019-01-01
Abstract
We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski's path integral model, more precisely we choose a different action, which can be tuned to different time scales. The result is a model with a very small number of parameters that provides very good fits of some stock prices and indices fluctuations.File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
final2.pdf
accesso aperto
:
Post-Print (DRAFT o Author’s Accepted Manuscript-AAM)
Dimensione
1.15 MB
Formato
Adobe PDF
|
1.15 MB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
