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Random Walks in Finance and Physics

  • Johannes Voit
Part of the Texts and Monographs in Physics book series (TMP)

Abstract

The Introduction, Chap. 1, suggested that there is a resemblance of financial price histories to a random walk. It is therefore more than a simple curiosity that the first successful theory of the random walk was motivated by the description of financial time series. The present chapter will therefore describe the random walk hypothesis [21], as formulated by Bachelier for financial time series, in Section 3.2 and the physics of random walks [22], in Sect. 3.3. The mathematical description of random walks can be found in many books [23]. A classical account of the random walk hypothesis in finance has been published by Cootner [7].

Keywords

Brownian Motion Random Walk Osmotic Pressure Price Change Maturity Date 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer-Verlag Berlin Heidelberg 2001

Authors and Affiliations

  • Johannes Voit
    • 1
  1. 1.Theoretische Physik 1Universität BayreuthBayreuthGermany

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