In this thesis, the central point is the application of stock price dynamics of the Italian stock exchange, in the period between June 1973 and April 1998. Given the daily percentage returns, in order to estimate some other parameters, is useful to introduce the preliminary notions of Markov chains and Polya process, essential to understand the Ehrenfest-Brillouin model. This model is fundamental to the interpretation of a moving system of elements in some categories, and that can be applied, in particular, to price increments in a stock market.

In this thesis, the central point is the application of stock price dynamics of the Italian stock exchange, in the period between June 1973 and April 1998. Given the daily percentage returns, in order to estimate some other parameters, is useful to introduce the preliminary notions of Markov chains and Polya process, essential to understand the Ehrenfest-Brillouin model. This model is fundamental to the interpretation of a moving system of elements in some categories, and that can be applied, in particular, to price increments in a stock market.

Stock price dynamics: an application of the Ehrenfest-Brillouin model to the Italian stock exchange

ZANATTA, SARA
2022/2023

Abstract

In this thesis, the central point is the application of stock price dynamics of the Italian stock exchange, in the period between June 1973 and April 1998. Given the daily percentage returns, in order to estimate some other parameters, is useful to introduce the preliminary notions of Markov chains and Polya process, essential to understand the Ehrenfest-Brillouin model. This model is fundamental to the interpretation of a moving system of elements in some categories, and that can be applied, in particular, to price increments in a stock market.
2022
Stock price dynamics: an application of the Ehrenfest-Brillouin model to the Italian stock exchange
In this thesis, the central point is the application of stock price dynamics of the Italian stock exchange, in the period between June 1973 and April 1998. Given the daily percentage returns, in order to estimate some other parameters, is useful to introduce the preliminary notions of Markov chains and Polya process, essential to understand the Ehrenfest-Brillouin model. This model is fundamental to the interpretation of a moving system of elements in some categories, and that can be applied, in particular, to price increments in a stock market.
Ehrenfest-Brillouin
Markov chains
Polya process
FORMENTIN, MARCO
Lauree triennali
File in questo prodotto:
File Dimensione Formato  
Zanatta_Sara.pdf

accesso aperto

Dimensione 511.86 kB
Formato Adobe PDF
Visualizza/Apri
511.86 kB Adobe PDF Visualizza/Apri

The text of this website © Università degli studi di Padova. Full Text are published under a non-exclusive license. Metadata are under a CC0 License

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/20.500.12608/46807