加纳证券交易所股票价格动态建模:几何布朗运动方法

Dennis Lartey Quayesam, Anani Lotsi, Felix Okoe Mettle
{"title":"加纳证券交易所股票价格动态建模:几何布朗运动方法","authors":"Dennis Lartey Quayesam, Anani Lotsi, Felix Okoe Mettle","doi":"arxiv-2403.13192","DOIUrl":null,"url":null,"abstract":"Modeling financial data often relies on assumptions that may prove\ninsufficient or unrealistic in practice. The Geometric Brownian Motion (GBM)\nmodel is frequently employed to represent stock price processes. This study\ninvestigates whether the behavior of weekly and monthly returns of selected\nequities listed on the Ghana Stock Exchange conforms to the GBM model.\nParameters of the GBM model were estimated for five equities, and forecasts\nwere generated for three months. Evaluation of estimation accuracy was\nconducted using mean square error (MSE). Results indicate that the expected\nprices from the modeled equities closely align with actual stock prices\nobserved on the Exchange. Furthermore, while some deviations were observed, the\nactual prices consistently fell within the estimated confidence intervals.","PeriodicalId":501139,"journal":{"name":"arXiv - QuantFin - Statistical Finance","volume":"259 1","pages":""},"PeriodicalIF":0.0000,"publicationDate":"2024-03-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Modeling stock price dynamics on the Ghana Stock Exchange: A Geometric Brownian Motion approach\",\"authors\":\"Dennis Lartey Quayesam, Anani Lotsi, Felix Okoe Mettle\",\"doi\":\"arxiv-2403.13192\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Modeling financial data often relies on assumptions that may prove\\ninsufficient or unrealistic in practice. The Geometric Brownian Motion (GBM)\\nmodel is frequently employed to represent stock price processes. This study\\ninvestigates whether the behavior of weekly and monthly returns of selected\\nequities listed on the Ghana Stock Exchange conforms to the GBM model.\\nParameters of the GBM model were estimated for five equities, and forecasts\\nwere generated for three months. Evaluation of estimation accuracy was\\nconducted using mean square error (MSE). Results indicate that the expected\\nprices from the modeled equities closely align with actual stock prices\\nobserved on the Exchange. Furthermore, while some deviations were observed, the\\nactual prices consistently fell within the estimated confidence intervals.\",\"PeriodicalId\":501139,\"journal\":{\"name\":\"arXiv - QuantFin - Statistical Finance\",\"volume\":\"259 1\",\"pages\":\"\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2024-03-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"arXiv - QuantFin - Statistical Finance\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/arxiv-2403.13192\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"arXiv - QuantFin - Statistical Finance","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/arxiv-2403.13192","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0

摘要

金融数据建模通常依赖于一些假设,而这些假设在实践中可能被证明是不充分或不现实的。几何布朗运动(GBM)模型经常被用来表示股票价格过程。本研究调查了在加纳证券交易所上市的部分股票的周收益率和月收益率是否符合 GBM 模型。使用均方误差 (MSE) 对估计精度进行了评估。结果表明,模型股票的预期价格与交易所实际股票价格非常接近。此外,虽然观察到一些偏差,但实际价格始终在估计的置信区间内。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Modeling stock price dynamics on the Ghana Stock Exchange: A Geometric Brownian Motion approach
Modeling financial data often relies on assumptions that may prove insufficient or unrealistic in practice. The Geometric Brownian Motion (GBM) model is frequently employed to represent stock price processes. This study investigates whether the behavior of weekly and monthly returns of selected equities listed on the Ghana Stock Exchange conforms to the GBM model. Parameters of the GBM model were estimated for five equities, and forecasts were generated for three months. Evaluation of estimation accuracy was conducted using mean square error (MSE). Results indicate that the expected prices from the modeled equities closely align with actual stock prices observed on the Exchange. Furthermore, while some deviations were observed, the actual prices consistently fell within the estimated confidence intervals.
求助全文
通过发布文献求助,成功后即可免费获取论文全文。 去求助
来源期刊
自引率
0.00%
发文量
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整,为了账户安全,请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
确定
请完成安全验证×
copy
已复制链接
快去分享给好友吧!
我知道了
右上角分享
点击右上角分享
0
联系我们:info@booksci.cn Book学术提供免费学术资源搜索服务,方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号:481959085
Book学术官方微信