Riv.Mat.Univ.Parma (4) 16 (1990) - Parte II


A note on stock price volatility

Pages 263-269
Received: 1 March 1990  

Abstract A new model of stock price volatility is discussed which avoids difficulties of other approaches. It is shown how the phenomenon can find a quite natural (possibly partial) interpretation in the correlation between trend and price. The contribution to volatility of the mentioned correlation can be calculated with various techniques one of which is treated here in detail.