The Random Walk Theory of Stock Price Behavior.
Abstract
The paper surveys the literature concerning the random walk theory of stock market price movement. Research is classified as either tests for independence of increments or attempts to define a probability distribution which approximates the price changes in the increments. Two typical investor problems are formulated. It is shown that the probability of success for the investor can be bounded from below by using bounds which are independent of the form of the probability distribution. The second case is shown to be analagous to a first passage problem the positive quadrant of a general random walk on the real line. (Author)
Document Details
- Document Type
- Technical Report
- Publication Date
- Jun 01, 1970
- Accession Number
- AD0874197
Entities
People
- John R. Pickett
Organizations
- Air Force Institute of Technology