Related papers: Stock Prices as Janardan Galton Watson Process

A simple quantum model explains the Levy-unstable distributions for individual stock returns observed by ref.[1]. The probability density function of the returns is written as the squared modulus of an amplitude. For short time intervals…

We reconsider the problem of option pricing using historical probability distributions. We first discuss how the risk-minimisation scheme proposed recently is an adequate starting point under the realistic assumption that price increments…

We present a phenomenological study of stock price fluctuations of individual companies. We systematically analyze two different databases covering securities from the three major US stock markets: (a) the New York Stock Exchange, (b) the…

High frequency data in finance have led to a deeper understanding on probability distributions of market prices. Several facts seem to be well stablished by empirical evidence. Specifically, probability distributions have the following…

Forecasting stock returns is a challenging problem due to the highly stochastic nature of the market and the vast array of factors and events that can influence trading volume and prices. Nevertheless it has proven to be an attractive…

This paper deals with branching processes in varying environment, namely, whose offspring distributions depend on the generations. We provide sufficient conditions for survival or extinction which rely only on the first and second moments…

Dividend discount models have been developed in a deterministic setting. Some authors (Hurley and Johnson, 1994 and 1998; Yao, 1997) have introduced randomness in terms of stochastic growth rates, delivering closed-form expressions for the…

This paper studies theory and inference related to a class of time series models that incorporates nonlinear dynamics. It is assumed that the observations follow a one-parameter exponential family of distributions given an accompanying…

We model the price of a stock via a Lang\'{e}vin equation with multi-dimensional fluctuations coupled in the price and in time. We generalize previous models in that we assume that the fluctuations conditioned on the time step are compound…

Stock prices are known to exhibit non-Gaussian dynamics, and there is much interest in understanding the origin of this behavior. Here, we present a model that explains the shape and scaling of the distribution of intraday stock price…

We propose a novel class of count time series models alternative to the classic Galton-Watson process with immigration (GWI) and Bernoulli offspring. A new offspring mechanism is developed and its properties are explored. This novel…

We establish a general sufficient condition for a sequence of Galton Watson branching processes in varying environment to converge weakly. This condition extends previous results by allowing offspring distributions to have infinite…

We present a finite-dimensional version of the quantum model for the stock market proposed in [C. Zhang and L. Huang, A quantum model for the stock market, Physica A 389(2010) 5769]. Our approach is an attempt to make this model consistent…

This paper explores the concept of random-time subordination in modelling stock-price dynamics, and We first present results on the Laplace distribution as a Gaussian variance-mixture, in particular a more efficient volatility estimation…

The linear-fractional Galton-Watson processes is a well known case when many characteristics of a branching process can be computed explicitly. In this paper we extend the two-parameter linear-fractional family to a much richer…

One approach to the analysis of stochastic fluctuations in market prices is to model characteristics of investor behaviour and the complex interactions between market participants, with the aim of extracting consequences in the aggregate.…

Consider an arbitrary large population at the present time, originated at an unspecified arbitrary large time in the past, where individuals in the same generation reproduce independently, forward in time, with the same offspring…

We investigate the general problem of how to model the kinematics of stock prices without considering the dynamical causes of motion. We propose a stochastic process with long-range correlated absolute returns. We find that the model is…

We consider the behaviour of minimax recursions defined on random trees. Such recursions give the value of a general class of two-player combinatorial games. We examine in particular the case where the tree is given by a Galton-Watson…

We consider a Galton-Watson tree where each node is marked independently of each others with a probability depending on itsout-degree. Using a penalization method, we exhibit new martingales where the number of marks up to level n -- 1…