Volume-Driven Random Walk of Speculative Price
Date Issued
2013
Date
2013
Author(s)
Chiu, Yen-Lin
Abstract
This thesis proposes a model for speculative price that modifies the classic stochastic model of Clark, P. K. (1973) by simply adapting trading volume, Q, as the operational time. It suggests return is a random walk driven by trading volume. Not only can this model be derived from two intuitive assumptions, but also can several stylized facts of speculative price be derived from a few further assumptions that are supported by empirical evidences. Empirical evidence is examined for the most representative 150 companies in Taiwan stock market: A linear equation of trading volume and return conditional variance is confirmed to describe the real data well. After divided by √Q, return tends to be normally distributed.
Subjects
隨機波動率
隨機走步
投機價格
Type
thesis
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