Construction of A Stock Price Process by Poisson Process and Its Distribution
Jun Wang · Journal of Beijing Jiaotong University · 2006
We investigate the fluctuation of price process in a stock market with Poisson process,Poisson distribution and percolation theory,and construct the corresponding random price process.According to the characteristic function of the stock price,we study the convergence of the probability distribution for the stock price process,and discuss the properties of fluctuations for the stock price.