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

See all articles by Rui Vilela Mendes

Rui Vilela Mendes

CMAF, Complexo Interdisciplinar UL and IPFN, Instituto Superior Técnico

R. Lima

CNRS

Tanya Araújo

UECE - Research Unit on Complexity in Economics

Date Written: January 25, 2015

Abstract

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.

Suggested Citation

Mendes, Rui Vilela and Lima, R. and Araújo, Tanya, A Process-Reconstruction Analysis of Market Fluctuations (January 25, 2015). International Journal of Theoretical and Applied Finance Vol. 5, No. 8 (2002) 797-821, Available at SSRN: https://ssrn.com/abstract=2555209

Rui Vilela Mendes (Contact Author)

CMAF, Complexo Interdisciplinar UL and IPFN, Instituto Superior Técnico ( email )

Av. Rovisco Pais
Lisboa, 1049-001
Portugal

R. Lima

CNRS ( email )

3, rue Michel-Ange
Paris, 75794
France

Tanya Araújo

UECE - Research Unit on Complexity in Economics ( email )

ISEG/UTL, Rua Miguel Lupi 20
Lisboa, 1249-078
Portugal

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