Gleeson, James P. - In: Physica A: Statistical Mechanics and its Applications 351 (2005) 2, pp. 523-550
A new model for stock price fluctuations is proposed, based upon an analogy with the motion of tracers in Gaussian random fields, as used in turbulent dispersion models and in studies of transport in dynamically disordered media. Analytical and numerical results for this model in a special...