Share Price Evolution as Stationary, Dependent Continuous Time Random Walk |
| T. Gubiec and R. Kutner
Division of Physics Education, Institute of Experimental Physics, Faculty of Physics, University of Warsaw, [-4pt] Hoża 69, 00-681 Warszawa, Poland |
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| Simple model of share price evolution, which is an extension of Kehr-Kutner-Binder one and Montero-Masoliver models, is presented. The market empirical data inspired the assumptions of the model. The model seems to be the reference one for the study of the short range correlations in financial data as it considers the observed correlation over two successive jumps of the financial ant. |
| DOI: 10.12693/APhysPolA.117.669 PACS numbers: 02.50.Ey, 02.50.Ga, 05.40.Fb, 02.30.Mv |