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
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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。
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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.
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