A model for stocks dynamics based on a non-Gaussian path integral

Giovanni Paolinelli and Gianni Arioli

Papers from arXiv.org

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.

Date: 2018-09, Revised 2018-10
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1809.01342

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