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Stock Prices as Janardan Galton Watson Process

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  • Ali Saeb

Abstract

Janardan (1980) introduces a class of offspring distributions that sandwich between Bernoulli and Poisson. This paper extends the Janardan Galton Watson (JGW) branching process as a model of stock prices. In this article, the return value over time t depends on the initial close price, which shows the number of offspring, has a role in the expectation of return and probability of extinction after the passage at time t. Suppose the number of offspring in t th generation is zero, (i.e., called extinction of model at time t) is equivalent with negative return values over time [0, t]. We also introduce the Algorithm that detecting the trend of stock markets.

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  • Ali Saeb, 2022. "Stock Prices as Janardan Galton Watson Process," Papers 2208.08496, arXiv.org.
    • Handle: RePEc:arx:papers:2208.08496
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    File URL: http://arxiv.org/pdf/2208.08496
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    1. Georgi K. Mitov & Svetlozar T. Rachev & Young Shin Kim & Frank J. Fabozzi, 2009. "Barrier Option Pricing By Branching Processes," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 12(07), pages 1055-1073.
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