A model of stock price movements
(2016) FYSM32 20161Department of Physics
Mathematical Physics
- Abstract (Swedish)
- The goal of the thesis is to model stock prices as a stochastic process which exhibits reversion towards an equilibrium point, where the equilibrium point is set by fundamental data points of the company. The stochastic model is compared to the standard approach of using Geometric Brownian motion to simulate stock prices.
The autocorrelations of a group of stocks are investigated. This has lead to the development of a method of modifying stochastic models of stock movements to include autocorrelation, by introducing an autoregressive term.
A method to achieve an index behaviour for a group of simulated stocks is developed, by the introduction of an index term. This can be added to stochastic models of stock movements.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8884597
- author
- Gudmundsson, Johan LU
- supervisor
-
- Sven Ã…berg LU
- organization
- course
- FYSM32 20161
- year
- 2016
- type
- H2 - Master's Degree (Two Years)
- subject
- language
- English
- id
- 8884597
- date added to LUP
- 2016-06-27 12:24:09
- date last changed
- 2016-06-27 12:24:09
@misc{8884597, abstract = {{The goal of the thesis is to model stock prices as a stochastic process which exhibits reversion towards an equilibrium point, where the equilibrium point is set by fundamental data points of the company. The stochastic model is compared to the standard approach of using Geometric Brownian motion to simulate stock prices. The autocorrelations of a group of stocks are investigated. This has lead to the development of a method of modifying stochastic models of stock movements to include autocorrelation, by introducing an autoregressive term. A method to achieve an index behaviour for a group of simulated stocks is developed, by the introduction of an index term. This can be added to stochastic models of stock movements.}}, author = {{Gudmundsson, Johan}}, language = {{eng}}, note = {{Student Paper}}, title = {{A model of stock price movements}}, year = {{2016}}, }