A Process-Reconstruction Analysis of Market Fluctuations
International Journal of Theoretical and Applied Finance Vol. 5, No. 8 (2002) 797-821
26 Pages Posted: 27 Jan 2015
Date Written: January 25, 2015
The statistical properties of a stochastic process may be described (1) by the expectation values of the observables, (2) by the probability distribution functions or (3) by probability measures on path space. Here an analysis of level (3) is carried out for market fluctuation processes. Gibbs measures and chains with complete connections are considered. Some other topics are also discussed, in particular the asymptotic stationarity of the processes and the behavior of statistical indicators of level (1) and (2). We end up with some remarks concerning the nature and origin of the market fluctuation process and its relation to the efficient market hypothesis.
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