I would like my dissertation to look into the temporal correlation of r(t) and also the distribution of r(t)
Requirements: You need to submit a 10-page A4 document containing:
(1) mathematical and other relevant background information for your project, (2) a clear formulation of the project goals, and
(3) the draft work plan accompanied by a Gantt chart.
Please and also there is a book called Modelling Financial Time Series by Stephen J. Taylor.
It is commonly assumed in models of financial markets that stock prices follow geometric Brownian motion. This implies that there are no statistical correlations between prices of a given stock at different times. In practice this assumption is sometimes observed to be violated, resulting in arbitrage opportunities (this is how hedge funds make money!). The project will involve testing actual market data for the presence of such temporal correlations, and numerical modelling of them. An example of such analysis can be seen in www.bis.org/publ/bppdf/bispap58e.pdf. A useful starting point for further reading is this Wikipedia page: http://en.wikipedia.org/wiki/Hurst_ exponent.
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