{"title":"Modeling Stock Price of Transnational companies using Brownian motion","authors":"Ivan Kucherov","doi":"10.18254/s207751800019525-6","DOIUrl":null,"url":null,"abstract":"This article is concerned with creating a model for stock price using the Brownian motion. At first, we consider the notion of a discrete time stochastic process, simple random walk, and then move on to its continuous analogue, the Brownian motion. Next we identify the problem with using regular Calculus for stochastic differential equations and derive Ito’s Lemma. After that we derive a model for stock prices and use lognormal distribution to determine its expected value and variance. Finally, we use sample volatility to make predictions for Apple and Gazprom stock prices.","PeriodicalId":51498,"journal":{"name":"Jasss-The Journal of Artificial Societies and Social Simulation","volume":null,"pages":null},"PeriodicalIF":2.2000,"publicationDate":"2022-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Jasss-The Journal of Artificial Societies and Social Simulation","FirstCategoryId":"5","ListUrlMain":"https://doi.org/10.18254/s207751800019525-6","RegionNum":3,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"SOCIAL SCIENCES, INTERDISCIPLINARY","Score":null,"Total":0}
引用次数: 0
Abstract
This article is concerned with creating a model for stock price using the Brownian motion. At first, we consider the notion of a discrete time stochastic process, simple random walk, and then move on to its continuous analogue, the Brownian motion. Next we identify the problem with using regular Calculus for stochastic differential equations and derive Ito’s Lemma. After that we derive a model for stock prices and use lognormal distribution to determine its expected value and variance. Finally, we use sample volatility to make predictions for Apple and Gazprom stock prices.
期刊介绍:
The Journal of Artificial Societies and Social Simulation is an interdisciplinary journal for the exploration and understanding of social processes by means of computer simulation. Since its first issue in 1998, it has been a world-wide leading reference for readers interested in social simulation and the application of computer simulation in the social sciences. Original research papers and critical reviews on all aspects of social simulation and agent societies that fall within the journal"s objective to further the exploration and understanding of social processes by means of computer simulation are welcome.