A model for stocks dynamics based on a non-Gaussian path integral
Computational Finance
2018-12-26 v3
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.
Cite
@article{arxiv.1809.01342,
title = {A model for stocks dynamics based on a non-Gaussian path integral},
author = {Giovanni Paolinelli and Gianni Arioli},
journal= {arXiv preprint arXiv:1809.01342},
year = {2018}
}
Comments
26 pages