A PROCESS-RECONSTRUCTION ANALYSIS OF MARKET FLUCTUATIONS

R. Vilela Mendes (), R. Lima () and Tanya Araújo
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R. Vilela Mendes: Laboratório de Mecatrónica, DEEC, Instituto Superior Técnico, Av. Rovisco Pais, 1096 Lisboa Codex, Portugal;
R. Lima: Zentrum für interdisziplinäre Forschung, Universität Bielefeld, Wellenberg 1, 33615 Bielefeld, Germany;

International Journal of Theoretical and Applied Finance (IJTAF), 2002, vol. 05, issue 08, 797-821

Abstract: The statistical properties of a stochastic process may be described (1) by the expectation values of the observables, (2) by the probability distribution functions or (3) by probability measures on path space. Here an analysis of level (3) is carried out for market fluctuation processes. Gibbs measures and chains with complete connections are considered. Some other topics are also discussed, in particular the asymptotic stationarity of the processes and the behavior of statistical indicators of level (1) and (2). We end up with some remarks concerning the nature and origin of the market fluctuation process and its relation to the efficient market hypothesis.

Keywords: Market fluctuations; Gibbs measures; Chains with complete connections (search for similar items in EconPapers)
Date: 2002
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Working Paper: A process-reconstruction analysis of market fluctuations (2001)
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DOI: 10.1142/S0219024902001730

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