A Trinomial Probability Model for Occurrences of Stock Price Change: Evidence from Dhaka Stock Exchange

Md. Zahirul Islam, Shakil Ahmad
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Abstract

This paper is concerned with modeling the occurrences of stock price uncertainty of Dhaka Stock Exchange. Daily closing prices of three different banks are selected for analysis. This report focuses on the overall condition of the stock market to find out the amount of probability of uncertainty of occurrences by analytically chosen model to the financial data of Banking Sector (leading three Banks of Bangladesh: AB Bank, City Bank and National Bank). Various popular variability-forecasting models with techniques of measuring and evaluating performance of forecasting were reviewed. In this research, a trinomial probability distribution model is fitted considering the outcome (closing price) of a stock (per day) such as low, unchanged and high for the quoted three banks. Maximum likelihood estimations are derived for estimating the parameters of the model. To check the model acceptability chi-square goodness-of-fit test is conducted. It is found that the probability of occurrences of unchanged price for AB bank is low (0.014). On the other hand the probability of occurrence of high and low price are high (0.478 and 0.508) and these probabilities are almost same for the other banks (City and National bank).
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股票价格变动的三项概率模型:来自达卡证券交易所的证据
本文对达卡证券交易所股票价格不确定性的发生进行了建模。选取三家不同银行的每日收盘价进行分析。本报告侧重于股票市场的整体状况,通过分析选择的模型对银行业(孟加拉国三大银行:AB银行,城市银行和国家银行)的财务数据进行分析,找出发生不确定性的概率。综述了各种流行的变率预测模型及其预测效果的测量和评价技术。在本研究中,拟合了一个三项概率分布模型,考虑了报价三家银行的股票(每天)的低、不变和高等结果(收盘价)。最大似然估计是用来估计模型参数的。为检验模型的可接受性,采用卡方拟合优度检验。结果发现,AB银行出现价格不变的概率很低(0.014)。另一方面,高价和低价发生的概率很高(0.478和0.508),这些概率对其他银行(城市银行和国家银行)几乎相同。
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