Passive motion in dynamical disorder as a model for stock market prices

摘要: Abstract A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used turbulent dispersion models and studies transport dynamically disordered media. Analytical numerical results this a special limiting case single-scale field show characteristics similar to those found empirical market data. Specifically, short-term returns have non-Gaussian distribution, super-diffusive volatility. Assuming power-law decay time correlation disorder, decays rapidly but function absolute exhibits slow decay. The distribution converges towards over long times. Some important data are not, however, reproduced by model, notably scaling tails cumulative returns. Implied volatilities options pricing simulation.