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}
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.