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On The Validity of The Geometric Brownian Motion Assumption

descriptionPublicationkeyboard_double_arrow_right Article 01 Apr 2005 United States English Publisher:Informa UK LimitedJournal:The Engineering Economist, volume 50, pages 159-192 (issn: 0013-791X, eissn: 1547-2701,

Authors: Marathe, Rahul; Ryan, Sarah;

doi: 10.1080/00137910590949904

handle: 20.500.12876/44542

On The Validity of The Geometric Brownian Motion Assumption

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Abstract

Abstract The geometric Brownian motion (GBM) process is frequently invoked as a model for such diverse quantities as stock prices, natural resource prices and the growth in demand for products or services. We discuss a process for checking whether a given time series follows the GBM process. Methods to remove seasonal variation from such a time series are also analyzed. Of four industries studied, the historical time series for usage of established services meet the criteria for a GBM; however, the data for growth of emergent services do not.

Country

United States

Related Organizations

Iowa State University
United States

Keywords

330, lognormal growth, electric utilities, Systems Engineering, industrial economics, Brownian movement, 510, engineering economics, Industrial Engineering, stock procies, geometric Brownian motion (GBM), chemical industry

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	citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	112
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	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 1%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 10%