The Time Function of Stock Price

Shengfeng Mei and Hong Gao

Papers from arXiv.org

Abstract: This paper tends to define the quantitative relationship between the stock price and time as a time function. Based on the empirical evidence that the log-return of a stock is the series of white noise, a mathematical model of the integral white noise is established to describe the phenomenon of stock price movement. A deductive approach is used to derive the auto-correlation function, displacement formula and power spectral density of the stock price movement, which reveals not only the characteristics and rules of the movement but also the predictability of the stock price. The deductive fundamental is provided for the price analysis, prediction and risk management of portfolio investment.

Date: 2020-08, Revised 2023-02
New Economics Papers: this item is included in nep-fmk and nep-rmg
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2008.11806

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