Study on Models of Stock Price Fluctuation

Wen Feng WU;Chong Feng Wu

Systems Engineering - Theory & Practice ›› 2000, Vol. 20 ›› Issue (4) : 63-69.

PDF(376 KB)
PDF(376 KB)
Systems Engineering - Theory & Practice ›› 2000, Vol. 20 ›› Issue (4) : 63-69. DOI: 10.12011/1000-6788(2000)4-63
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Study on Models of Stock Price Fluctuation

  • Wen Feng WU,Chong Feng Wu
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Abstract

Traditionally, random walk model and lognormality model are used to describe the fluctuation of stock price. As the two models are inconsistent with the real stock market largely, in this paper we put forward an adjusted model, "fluctuating sources model", in which the stock price is affected mutually by random fluctuating source and abnormal fluctuating source. With empirical study of the adjusted model, it shows that fluctuating sources model can describe the real stock market more accurately than the tra...

Key words

stock market / fluctuation / random walk / lognormality

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Wen Feng WU , Chong Feng Wu. Study on Models of Stock Price Fluctuation. Systems Engineering - Theory & Practice, 2000, 20(4): 63-69 https://doi.org/10.12011/1000-6788(2000)4-63
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