Hostname: page-component-78c5997874-dh8gc Total loading time: 0 Render date: 2024-11-15T10:53:49.507Z Has data issue: false hasContentIssue false
  • English
  • Français

Security Prices as Markov Processes

Published online by Cambridge University Press:  19 October 2009

Terence M. Ryan
Get access Rights & Permissions [Opens in a new window]

Extract

The purpose of this article is to explore the relevance of the theory of Markov processes to the analysis of stock price movements.

The present study was prompted by the work of Dryden [6], in which aggregate data on United Kingdom share prices were analyzed within a Markovian framework, and which indicated that it might be fruitful to apply the Markov model to more disaggregated data, specifically to individual stock price data.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 8 , Issue 1 , January 1973 , pp. 17 - 36
Copyright
Copyright © School of Business Administration, University of Washington 1973

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

[1]Anderson, T.W., and Goodman, L.A.. “Statistical Inference about Markov Chains,” Annals of Mathematical Statistics, vol. 28 (1957), pp. 89–110.Google Scholar
[2]Breasley, R.A.An Introduction to Risk and Return from Common Stocks. Cambridge, Mass.: M.I.T. Press, 1969.Google Scholar
[3]Cootner, P.H. “Stock Prices: Random versus Systematic Changes.” Industrial Management Review, Spring 1962.Google Scholar
[4]Cootner, P.H.The Random Character of Stock Market Prices. Cambridge, Mass.: M.I.T. Press, 1964.Google Scholar
[5]Cox, D.R., and Miller, H.D.. The Theory of Stochastic Processes. Methuen, 1965.Google Scholar
[6]Dryden, M.M. “Share Price Movements: A Markovian Approach.” Journal of Finance, March 1969.CrossRefGoogle Scholar
[7]Dryden, M.M. “A Statistical Study of U.K. Share Prices.” Scottish Journal of Political Economy, May 1970.CrossRefGoogle Scholar
[8]Graham, B.; Dodd, D.L.; and Cottle, S.. Security Analysis. McGraw-Hill, 1961.Google Scholar
[9]Kemeny, J.G., and Snell, J.L.. Finite Markov Chains. Van Nostrand, 1960.Google Scholar
[10]King, B.F. “Market and Industry Factors in Stock Price Behaviour.” Journal of Business, January 1966.CrossRefGoogle Scholar
[11]Sharpe, W.F. “A Simplified Model for Portfolio Analysis.” Management Science, January 1963.Google Scholar
[12]Weston, J.F., and Brigham, E.F.. Managerial Finance. 3rd ed., New York: Holt, Rinehart and Winston, 1970.Google Scholar