12,346 research outputs found
The time function of stock price
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 white noise is established to describe the phenomenon of stock price
movement. A deductive approach is used to derive the auto-correlation function,
displacement formula and power spectral density of the stock price movement,
which reveals not only the characteristics and rules of the movement but also
the predictability of the stock price. The deductive fundamental is provided
for the price analysis, prediction and risk management of portfolio investment.Comment: 12 pages, 3 figure
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