Corpus ID: 221340873

The time function of stock price

@article{Mei2020TheTF,
  title={The time function of stock price},
  author={Shengfeng Mei and Hong Gao},
  journal={arXiv: Statistical Finance},
  year={2020}
}
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… Expand

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