Template-Type:ReDIF-Paper 1.0  
Title:Stock Price Fluctuation as a Diffusion in a Random Environment
Author-Name:Föllmer, Hans 
Classification-JEL:G10, D52, D84
Keywords:asset prices, temporary equilibria, noise traders, random environment, hedging, probabilistic cellur automata
Abstract:The fluctuation of stock prices is modelled as a sequence of temporary equilibria on a financial market with
	different types of agents. We summarize joint work with M. Schweizer on the class of Ornstein-Uhlenbeck processes in a
	random environment which appears in the diffusion limit. Moreover, we show how the random environment may be
	generated by the interaction of a large set of agents modelled by Markov chains as they appear in the theory of probabilistic
	cellular automata.
Length: pages
Creation-Date: 1993-12
Revision-Date: 
Handle: RePEc:bon:bonsfb:264