# Tag Info

Accepted

### Why do we usually model returns and not prices?

Basically, prices usually have a unit root, while returns can be assumed to be stationary. This is also called order of integration, a unit root means integrated of order 1, I(1), while stationary is ...
• 5,291
Accepted

Accepted

### Normality or Log-Normality of Regular Returns

You're right but a GBM doesn't assume that percentage returns are normally distributed. It's about log-returns. If the log-return $r_t=\ln\left(\frac{S_{t+dt}}{S_t}\right)$ is normally distributed (...
• 13.8k