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image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
Archivio della Ricerca - Università di Pisa
Article . 1990
Data sources: Archivio della Ricerca - Università di Pisa
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A note on stock price volatility

descriptionPublicationkeyboard_double_arrow_right Article 01 Jan 1990 Italy Publisher:Università di Parma, Parma
Authors: BRAGLIA, MARCELLO;

handle: 11568/9990

A note on stock price volatility

Abstract

A new model of stock price volatility is discussed which avoids difficulties of other approaches. It is shown how the phenomenon can find a quite natural (possibly partial) interpretation in the correlation between trend and price. The contribution to volatility of the mentioned correlation can be calculated with various techniques, one of which is treated here in detail.

Country
Italy
Related Organizations
Keywords

random walk, diffusion volatility test, Fokker-Planck equation, Microeconomic theory (price theory and economic markets), efficient market, stock price volatility

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selected citations
These citations are derived from selected sources.
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).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
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