A model for stocks dynamics based on a non-Gaussian path integral

@article{Paolinelli2019AMF,
  title={A model for stocks dynamics based on a non-Gaussian path integral},
  author={Giovanni Paolinelli and Gianni Arioli},
  journal={Physica A: Statistical Mechanics and its Applications},
  year={2019}
}
  • G. Paolinelli, G. Arioli
  • Published 4 September 2018
  • Mathematics, Economics
  • Physica A: Statistical Mechanics and its Applications
We introduce a model for the dynamics of stock prices based on a non quadratic path integral. The model is a generalization of Ilinski’s path integral model, more precisely we choose a different action, which can be tuned to different time scales. The result is a model with a very small number of parameters that provides very good fits of some stock prices and indices fluctuations. 
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