Scaled geometric Brownian motion features sub- or superexponential ensemble-averaged, but linear time-averaged mean-squared displacements
- Various mathematical Black-Scholes-Merton-like models of option pricing employ the paradigmatic stochastic process of geometric Brownian motion (GBM). The innate property of such models and of real stock-market prices is the roughly exponential growth of prices with time [on average, in crisis-free times]. We here explore the ensemble- and time averages of a multiplicative-noise stochastic process with power-law-like time-dependent volatility, sigma(t) similar to t(alpha), named scaled GBM (SGBM). For SGBM, the mean-squared displacement (MSD) computed for an ensemble of statistically equivalent trajectories can grow faster than exponentially in time, while the time-averaged MSD (TAMSD)-based on a sliding-window averaging along a single trajectory-is always linear at short lag times Delta. The proportionality factor between these the two averages of the time series is Delta/T at short lag times, where T is the trajectory length, similarly to GBM. This discrepancy of the scaling relations and pronounced nonequivalence of the MSD andVarious mathematical Black-Scholes-Merton-like models of option pricing employ the paradigmatic stochastic process of geometric Brownian motion (GBM). The innate property of such models and of real stock-market prices is the roughly exponential growth of prices with time [on average, in crisis-free times]. We here explore the ensemble- and time averages of a multiplicative-noise stochastic process with power-law-like time-dependent volatility, sigma(t) similar to t(alpha), named scaled GBM (SGBM). For SGBM, the mean-squared displacement (MSD) computed for an ensemble of statistically equivalent trajectories can grow faster than exponentially in time, while the time-averaged MSD (TAMSD)-based on a sliding-window averaging along a single trajectory-is always linear at short lag times Delta. The proportionality factor between these the two averages of the time series is Delta/T at short lag times, where T is the trajectory length, similarly to GBM. This discrepancy of the scaling relations and pronounced nonequivalence of the MSD and TAMSD at Delta/T << 1 is a manifestation of weak ergodicity breaking for standard GBM and for SGBM with s (t)-modulation, the main focus of our analysis. The analytical predictions for the MSD and mean TAMSD for SGBM are in quantitative agreement with the results of stochastic computer simulations.…
Verfasserangaben: | Andrey G. CherstvyORCiD, Deepak VinodORCiD, Erez AghionORCiD, Igor M. SokolovORCiDGND, Ralf MetzlerORCiDGND |
---|---|
DOI: | https://doi.org/10.1103/PhysRevE.103.062127 |
ISSN: | 2470-0045 |
ISSN: | 2470-0053 |
Pubmed ID: | https://pubmed.ncbi.nlm.nih.gov/34271619 |
Titel des übergeordneten Werks (Englisch): | Physical review : E, Statistical, nonlinear and soft matter physics |
Verlag: | American Physical Society |
Verlagsort: | College Park |
Publikationstyp: | Wissenschaftlicher Artikel |
Sprache: | Englisch |
Datum der Erstveröffentlichung: | 15.06.2021 |
Erscheinungsjahr: | 2021 |
Datum der Freischaltung: | 22.02.2024 |
Band: | 103 |
Ausgabe: | 6 |
Aufsatznummer: | 062127 |
Seitenanzahl: | 11 |
Fördernde Institution: | Humboldt University of Berlin; Deutsche Forschungsgemeinschaft (DFG)German Research Foundation (DFG) [ME 1535/7-1, ME 1535/12-1]; Foundation for Polish Science (Fundacja na rzecz Nauki Polskiej) within an Alexander von Humboldt Polish Honorary Research Scholarship |
Organisationseinheiten: | Mathematisch-Naturwissenschaftliche Fakultät / Institut für Physik und Astronomie |
DDC-Klassifikation: | 5 Naturwissenschaften und Mathematik / 53 Physik / 530 Physik |
Peer Review: | Referiert |
Lizenz (Deutsch): | Keine öffentliche Lizenz: Unter Urheberrechtsschutz |