Accession Number : AD0874197

Title :   The Random Walk Theory of Stock Price Behavior.

Descriptive Note : Master's thesis,

Corporate Author : AIR FORCE INST OF TECH WRIGHT-PATTERSON AFB OH SCHOOL OF ENGINEERING

Personal Author(s) : Pickett, John R.

Report Date : JUN 1970

Pagination or Media Count : 61

Abstract : The paper surveys the literature concerning the random walk theory of stock market price movement. Research is classified as either tests for independence of increments or attempts to define a probability distribution which approximates the price changes in the increments. Two typical investor problems are formulated. It is shown that the probability of success for the investor can be bounded from below by using bounds which are independent of the form of the probability distribution. The second case is shown to be analagous to a first passage problem the positive quadrant of a general random walk on the real line. (Author)

Descriptors :   (*ECONOMICS, STOCHASTIC PROCESSES), MANAGEMENT PLANNING AND CONTROL, DECISION MAKING, PROBABILITY, INTEGRALS, THESES.

Subject Categories : Economics and Cost Analysis
      Operations Research

Distribution Statement : APPROVED FOR PUBLIC RELEASE