在涉及马来西亚证券交易所小型公司的股票市场预测技术中,对最佳波动性测量进行了调查

S. A. Z. Abidin, M. Jaafar
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引用次数: 3

摘要

本文提出了一种利用几何布朗运动(GBM)预测马来西亚交易所小型公司未来收盘价的方法。预测仅限于短期投资,因为大多数投资者的目标是在短期内获得利润。选择小型公司的原因是因为资产价格较低,因此资产对各级投资者来说都是负担得起的。在本文中,我们认为包含随机性、波动性和漂移的GBM可以帮助投资者做出明智的投资决策。研究表明,该模型具有较高的股票价格预测精度,其平均绝对百分比误差(MAPE)值较低。虽然它是高度准确的,但我们试图找到合适的波动率测量,使预测值更接近股票价格的实际运动。结果表明,采用高-低-近波动率预测的股票价格最接近实际价格。该波动率测量和GBM模型建议投资者预测未来价格,最多两周的投资。
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Surveying the best volatility measurements in stock market forecasting techniques involving small size companies in Bursa Malaysia
This paper proposes a way to forecast the future closing price of small size companies in Bursa Malaysia by using geometric Brownian motion (GBM). Forecasting is restricted to short term investment because most of the investors aim to gain profit in short period of time. The reasons of choosing small size companies are because the asset prices are lower, hence the asset are affordable for all level of investors. In this paper, we suggest that GBM which involves randomness, volatility, and drift can help investor in making their investment decision wisely. This research shows the model is highly accurate model in forecasting stock prices and it is proven by the lower value of mean absolute percentage error (MAPE). Although it is highly accurate, we try to find the suitable volatility measurements that give the forecast value closer to the actual movement of stock prices. The result shows that by using highs-lows-close volatility, the forecast stock prices are closest to the actual prices. This volatility measurement and GBM model are suggested to the investor to forecast future prices for a maximum of two week investment.
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