Related papers: Stock Prices as Janardan Galton Watson Process
The paper presents an evolutionary economic model for the price evolution of stocks. Treating a stock market as a self-organized system governed by a fast purchase process and slow variations of demand and supply the model suggests that the…
In this paper the Galton Watson branching process has been studied for a class of offspring distributions which are in a way sandwiched between the Bernoulli and Poisson.
Branching processes model the evolution of populations of agents that randomly generate offsprings. These processes, more patently Galton-Watson processes, are widely used to model biological, social, cognitive, and technological phenomena,…
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…
We consider a multitype Galton-Watson process that allows for the mutation and reversion of individual types in discrete and continuous time. In this setting, we explicitly compute the time evolution of quantities such as the mean and…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
We present a time-dependent Langevin description of dynamics of stock prices. Based on a simple sliding-window algorithm, the fluctuation of stock prices is discussed in the view of a time-dependent linear restoring force which is the…
In this paper, we study the Galton-Watson process in the random environment for the particular case when the number of the offsprings in each generation has the fractional linear generation function with random parameters. In this case, the…
A theory which describes the share price evolution at financial markets as a continuous-time random walk has been generalized in order to take into account the dependence of waiting times t on price returns x. A joint probability density…
We consider the set of random Bienaym\'e-Galton-Watson trees with a bounded number of offspring and bounded number of generations as a statistical mechanics model: a random tree is a rooted subtree of the maximal tree; the spin at a given…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…
The Galton-Watson process is a model for population growth which assumes that individuals reproduce independently according to the same offspring distribution. Inference usually focuses on the offspring average as it allows to classify the…
The Galton--Watson process is the simplest example of a branching process. The relationship between the offspring distribution, and, when the extinction occurs almost surely, the distribution of the total progeny is well known. In this…
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution…
We study the Heston model, where the stock price dynamics is governed by a geometrical (multiplicative) Brownian motion with stochastic variance. We solve the corresponding Fokker-Planck equation exactly and, after integrating out the…
In this paper, we describe two approaches to model the behavior of stock prices. The first approach considers the underlying probability distribution of day-to-day price differences. The second approach models the movement of the price as a…
We consider the simple random walk on Galton-Watson trees with supercritical offspring distribution, conditioned on non-extinction. In case the offspring distribution has finite support, we prove an upper bound for the annealed return…
Reinforced Galton--Watson processes describe the dynamics of a population where reproduction events are reinforced, in the sense that offspring numbers of forebears can be repeated randomly by descendants. More specifically, the evolution…
1 Sharp prediction of extinction times is needed in biodiversity monitoring and conservation management. 2 The Galton-Watson process is a classical stochastic model for describing population dynamics. Its evolution is like the matrix…
Information is a key component in determining the price of an asset in financial markets, and the main objective of this paper is to study the spread of information in this context. The network of interactions in financial markets is…