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Security Prices as Markov Processes

Published online by Cambridge University Press:  19 October 2009

Terence M. Ryan
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Extract

The purpose of this article is to explore the relevance of the theory of Markov processes to the analysis of stock price movements.

The present study was prompted by the work of Dryden [6], in which aggregate data on United Kingdom share prices were analyzed within a Markovian framework, and which indicated that it might be fruitful to apply the Markov model to more disaggregated data, specifically to individual stock price data.

Information

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 8 , Issue 1 , January 1973, pp. 17 - 36
Copyright
Copyright © School of Business Administration, University of Washington 1973

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References

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