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A random walk model with no memory (i.e. change from previous value to next is independent of all other movements).






The simplest random walk model. The variable is a random displacement from its previous value irrespective of the size of that previous value. Other distributions can, of course, be used in place of the Normal.


m in this case, but in general the mean of the distribution used, is the linear trend of the model.


At any time t:




from Central Limit Theorem. Thus, St expands with increasing t, and easily go negative.

The links to the Random Walk 1 software specific models are provided here:





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