A model for stock price fluctuations based on information
نویسندگان
چکیده
منابع مشابه
A model for stock price fluctuations based on information
I present a new model for stock price fluctuations based on a concept of “information.” In contrast, the usual Black–Scholes–Merton–Samuelson model is based on the explicit assumption that information is uniformly held by everyone and plays no role in stock prices. The new model is based on the evident nonuniformity of information in the market and the evident time delay until new information b...
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ژورنال
عنوان ژورنال: IEEE Transactions on Information Theory
سال: 2002
ISSN: 0018-9448
DOI: 10.1109/tit.2002.1003827