Stock Prices as Janardan Galton Watson Process
Applications
2022-08-19 v1 Probability
Statistical Finance
Abstract
Janardan (1980) introduces a class of offspring distributions that sandwich between Bernoulli and Poisson. This paper extends the Janardan Galton Watson (JGW) branching process as a model of stock prices. In this article, the return value over time t depends on the initial close price, which shows the number of offspring, has a role in the expectation of return and probability of extinction after the passage at time t. Suppose the number of offspring in t th generation is zero, (i.e., called extinction of model at time t) is equivalent with negative return values over time [0, t]. We also introduce the Algorithm that detecting the trend of stock markets.
Cite
@article{arxiv.2208.08496,
title = {Stock Prices as Janardan Galton Watson Process},
author = {Ali Saeb},
journal= {arXiv preprint arXiv:2208.08496},
year = {2022}
}