Geodesic
Stochastic model of dynamic relative increments stock price
Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika, no. 2 (2011), pp. 38-44

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In this paper, the process of relative increment of stock price is considered. The process is described using the generalized Ito equation. Stochastic dynamics was described with Lukoil stock prices during the period of 18.04.2008 up to 17.04.2009, with intervals $\Delta\tau=1$ min, $5$ min, $10$ min, $15$ min, $30$ min, and $60$ min.
Keywords: stochastic process, drift, volatility, relative increments, Wiener process, Markov process. 
@article{VTGU_2011_2_a4,
     author = {P. V. Tryasuchev},
     title = {Stochastic model of dynamic relative increments stock price},
     journal = {Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika},
     pages = {38--44},
     publisher = {mathdoc},
     number = {2},
     year = {2011},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/VTGU_2011_2_a4/}
}
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P. V. Tryasuchev. Stochastic model of dynamic relative increments stock price. Vestnik Tomskogo gosudarstvennogo universiteta. Matematika i mehanika, no. 2 (2011), pp. 38-44. http://geodesic.mathdoc.fr/item/VTGU_2011_2_a4/