The expected change per unit of time in an asset price. For example, the drift of a stock price for one day might be $2. For a stock price of $100, the stock price would be expected to go up or down by $2 one day forward. According to the market efficiency hypothesis, the motion of an asset price, which follows a random walk, has two parts: 1) a drift rate and 2) a variance rate.
December 25, 2024
