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Information Journal Paper

Title

Forecasting Total Index of Tehran Stock Exchange Using Geometric Brownian Motion Model

Pages

  193-208

Abstract

 The use of models based on Stochastic Differential Equations has attracted the attention of financial researchers in recent years and one of the most famous models is the Brownian Geometric Motion model. The purpose of this study is to predict the Tehran Stock Exchange total index, one of the important economic indicators for investors, using the Geometric Brownian Motion model. For this purpose, the Total Index of Tehran Stock exchange was investigated in the period from the beginning of 1380 to the end of 1395. Finally, the results showed that the model was able to predict the 1 day horizons with high accuracy. Also, by increasing the length of the prediction horizon, the accuracy of the predicted values by the model is reduced, and the GBM model's ability to simulate the total index value of the stock exchange decreases Nevertheless, the predicted values are still high accurate until the 90-day forecast horizon.

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    APA: Copy

    DAVALLOU, MARYAM, & Varzideh, Alireza. (2020). Forecasting Total Index of Tehran Stock Exchange Using Geometric Brownian Motion Model. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 13(46 ), 193-208. SID. https://sid.ir/paper/950997/en

    Vancouver: Copy

    DAVALLOU MARYAM, Varzideh Alireza. Forecasting Total Index of Tehran Stock Exchange Using Geometric Brownian Motion Model. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2020;13(46 ):193-208. Available from: https://sid.ir/paper/950997/en

    IEEE: Copy

    MARYAM DAVALLOU, and Alireza Varzideh, “Forecasting Total Index of Tehran Stock Exchange Using Geometric Brownian Motion Model,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 13, no. 46 , pp. 193–208, 2020, [Online]. Available: https://sid.ir/paper/950997/en

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