STOCK PRICE MODELING AND FORECASTING USING STOCHASTIC DIFFERENTIAL EQUATIONS

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KHALOUZADEH H.; KHAKI SEDIGH A.

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Journal: Journal of Economic Research Year:2005 | Volume:- | Issue:69 Page(s): 1-26

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Title

STOCK PRICE MODELING AND FORECASTING USING STOCHASTIC DIFFERENTIAL EQUATIONS

Author(s)

KHALOUZADEH H. | KHAKI SEDIGH A. | Issue Writer Certificate

Keywords

TIME SERIESQ3

MODELINGQ4

FORECASTINGQ4

ARIMA MODELSQ4

STOCHASTIC DIFFERENTIAL EQUATIONSQ2

ITOQ4

S INTEGRALQ4

Abstract

TIME SERIES processes can be classified to three models, linear models, stochastic models and chaotic models. Based on these classification the linear models are forecastable, the stochastic models are unforecastable and the chaotic models are semi forecastaable. The previouse researches in the MODELING and FORECASTING of the stock price usually try to prove that, the fluctuations of the share prices in Tehran Stock Exchange are not random walks in spite of the existance similarity to the random walks. Indeed the market has a chaotic behavior. This means that, the Efficient Market Hypothesis (EMH) is failed. Therefore by using a complex and powerfull models such as artificial neural networks, one can forecast stock prices in tehran stock merket. This paper proposed another approach to MODELING and FORECASTING of the share price. This approach is based on the STOCHASTIC DIFFERENTIAL EQUATIONS. The MODELING is based on the Black- Scholes pricing model. Comparison the simulation result with the linear ARIMA model, indicates that the proposed structrure, provides an accurate next step and the long term share prices and daily returns FORECASTING.

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APA: Copy

KHALOUZADEH, H., & KHAKI SEDIGH, A.. (2005). STOCK PRICE MODELING AND FORECASTING USING STOCHASTIC DIFFERENTIAL EQUATIONS. TAHGHIGHAT-E-EGHTESADI, -(69), 1-26. SID. https://sid.ir/paper/11716/en

Vancouver: Copy

KHALOUZADEH H., KHAKI SEDIGH A.. STOCK PRICE MODELING AND FORECASTING USING STOCHASTIC DIFFERENTIAL EQUATIONS. TAHGHIGHAT-E-EGHTESADI[Internet]. 2005;-(69):1-26. Available from: https://sid.ir/paper/11716/en

IEEE: Copy

H. KHALOUZADEH, and A. KHAKI SEDIGH, “STOCK PRICE MODELING AND FORECASTING USING STOCHASTIC DIFFERENTIAL EQUATIONS,” TAHGHIGHAT-E-EGHTESADI, vol. -, no. 69, pp. 1–26, 2005, [Online]. Available: https://sid.ir/paper/11716/en

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