A simple finite-difference stock market model involving intrinsic value

Jan Melecký and Artur Sergyeyev

Chaos, Solitons & Fractals, 2008, vol. 38, issue 3, 769-777

Abstract: We suggest a deterministic delay difference model for the time series of the closing stock price and the intrinsic value of the stock. The most important new feature of this model is the equation describing the evolution of the intrinsic value. We present a general solution for the model in question and study the stability of the stationary points. Comparison with the real-world data shows that upon a suitable choice of parameters our model exhibits a behavior reasonably similar to that of the real stock, at least for shorter time ranges (those of several weeks).

Date: 2008
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:38:y:2008:i:3:p:769-777

DOI: 10.1016/j.chaos.2007.01.016

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