10. Dynamics of Prices and Returns

  1. T. W. Epps

Published Online: 23 MAR 2009

DOI: 10.1002/9780470455289.ch10

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope

How to Cite

Epps, T. W. (2009) Dynamics of Prices and Returns, in Quantitative Finance: Its Development, Mathematical Foundations, and Current Scope, John Wiley & Sons, Inc., Hoboken, NJ, USA. doi: 10.1002/9780470455289.ch10

Publication History

  1. Published Online: 23 MAR 2009
  2. Published Print: 2 MAR 2009

ISBN Information

Print ISBN: 9780470431993

Online ISBN: 9780470455289

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Keywords:

  • price dynamics;
  • returns;
  • first-moment independence;
  • random walks;
  • martingales

Summary

This chapter contains sections titled:

  • Evidence for First-Moment Independence

  • Random Walks and Martingales

  • Modeling Prices in Continuous Time

  • Exercises

  • Empirical Project 4