scholarly journals Prediction of Stock Price Movements using Monte Carlo Simulation

2019 ◽  
Vol 8 (12) ◽  
pp. 2012-2016
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Stock Price ◽  
Narrow Band ◽  
Share Price ◽  
Share Prices ◽  
The Past ◽  
Price Movements ◽  
A Minor ◽  
Random Behaviour

Monte Carlo Simulation depends on random behaviour of events. When a variable takes values at random and becomes highly unpredictable due to its nature of randomness, the property of random numbers is made use of for predicting the future values that the variable may take. This property can be made use of for predicting share price movements, when the past share prices exhibit random behaviour, without exhibiting high fluctuations. This article explains the methodology of using Monte Carlo Simulation for predicting share price movements and explains the process with the help of an illustration taking the monthly share price data of ITC Limited for a period of 36 months, where the share prices have moved within a narrow band. Findings of the analysis show that it works well and that the method of prediction is reasonably accurate, showing only a minor deviation from the actual prices.

Effect of Dividend Policy on Stock Price Volatility in Nigeria Stock Exchange

2019 ◽  
Vol 9 (2) ◽  
pp. 219
Author(s):  
Felix Ebun Araoye ◽  
Akinola Michael Aruwaji ◽  
Emmanuel OlusuyiAjayi
Keyword(s):  
Stock Price ◽  
Dividend Policy ◽  
Positive Impact ◽  
Stock Exchange ◽  
Panel Data Analysis ◽  
Price Volatility ◽  
Share Price ◽  
Dividend Payout ◽  
Share Prices ◽  
Duration Effect

This paper seeks to determine the effect of dividend policy and dividend payment on share price volatility in Nigeria. Several literatures have showed evidence that dividend policy vary inversely proportional with share price volatility with duration effect. The study used data from the actively trading companies listed in the Nigeria Securities Exchange for a period of ten (10) years from 2005–2014. The estimation is based on panel data analysis between dividend policy measures (dividend payout, dividend per share, earnings after tax, dividend declared and number of share) and Share price volatility. The findings from the random effects regression results showed dividend per share is the major determinants of share price volatility in NSE (β = 0.6870, ρ<0.05). Dividend payout ratio negatively affect share price volatility (β =0.612, ρ>0.05) and earnings after tax negatively affect share price volatility (β =0.038, ρ>0.05).Thus, the higher the payout ratio the less the share price volatility, and the higher the earnings after tax lower the share price volatility. In conclusion, dividend per share has positive effect and inclusive relationship with market share prices. It is recommended that firms should try and improve on their financial performance that will enable consistent increase in the dividend per share for positive impact on market value.

scholarly journals ANALISIS PENGARUH RASIO KINERJA KEUANGAN TERHADAP HARGA SAHAM PT BANK MANDIRI PERSERO PERIODE 2014 – 2019

GANEC SWARA ◽  
2021 ◽  
Vol 15 (1) ◽  
pp. 963
Author(s):  
I KETUT KUSUMA WIJAYA
Keyword(s):  
Financial Performance ◽  
Stock Prices ◽  
Stock Price ◽  
Supply And Demand ◽  
Share Price ◽  
Financial Reports ◽  
Financial Ratio ◽  
Share Prices ◽  
Performance Variables ◽  
Simultaneous Test

     Share prices occur according to market supply and demand. Demand for shares is influenced by investors' expectations of the issuing company. The better the financial performance of a company, the higher investor expectations will be. This results in the shares becoming increasingly attractive and the share price will be higher. Conversely, if a company's financial performance is not good, investors' expectations will be low, so investors are not interested in investing in these shares. This causes the stock price to fall. The company's financial performance can be done by analyzing financial reports. This study aims to determine the effect of financial performance ratios on stock prices. The analytical tool used is multiple linear regression and hypothesis testing is done by partial test (T-test) and simultaneous test (F-test) and standardized coefficient test.     Based on the research results that simultaneously the financial ratio variable does not have a significant effect on stock prices. Meanwhile, only partially the NPM variable affects stock prices. Meanwhile, the financial performance variables (CAR, ROA, and LDR) do not affect stock prices. For the adjusted R2 value of 99.80%, it means that this value means that the variation of the independent variable which can explain the dependent variable is 99.80% and the remaining 2% is the variation of other variables that are not explained in the model.

VARIANCE GAMMA PROCESS WITH MONTE CARLO SIMULATION AND CLOSED FORM APPROACH FOR EUROPEAN CALL OPTION PRICE DETERMINATION

2021 ◽  
Vol 14 (2) ◽  
pp. 183-193
Author(s):  
Abdul Hoyyi ◽  
Abdurakhman Abdurakhman ◽  
Dedi Rosadi
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Closed Form ◽  
Stock Price ◽  
Option Price ◽  
Secondary Data ◽  
Exponential Model ◽  
Variance Gamma ◽  
Variance Gamma Process ◽  
Normally Distributed

The Option is widely applied in the financial sector.  The Black-Scholes-Merton model is often used in calculating option prices on a stock price movement. The model uses geometric Brownian motion which assumes that the data is normally distributed. However, in reality, stock price movements can cause sharp spikes in data, resulting in nonnormal data distribution. So we need a stock price model that is not normally distributed. One of the fastest growing stock price models today is the  process exponential model. The  process has the ability to model data that has excess kurtosis and a longer tail (heavy tail) compared to the normal distribution. One of the members of the  process is the Variance Gamma (VG) process. The VG process has three parameters which each of them, to control volatility, kurtosis and skewness. In this research, the secondary data samples of options and stocks of two companies were used, namely zoom video communications, Inc. (ZM) and Nokia Corporation (NOK).  The price of call options is determined by using closed form equations and Monte Carlo simulation. The Simulation was carried out for various  values until convergent result was obtained.

Assembly design in aeronautic field: From assembly jigs to tolerance analysis

2016 ◽  
Vol 231 (14) ◽  
pp. 2652-2663 ◽  
Author(s):  
Andrea Corrado ◽  
Wilma Polini
Keyword(s):  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Tolerance Analysis ◽  
The Other ◽  
Free Form ◽  
Control Points ◽  
Assembly Design ◽  
The Past ◽  
Computer Aided ◽  
Free Form Surfaces

Tolerance analysis represents the best way to solve assembly problems in order to improve the quality and to reduce the costs. It is a critical step to design and to build a product such as an aircraft and its importance is grown up in the past years. This work presents a method for the tolerance analysis of an assembly involving free-form surfaces with large dimensions. The assembly is a tail beam, a structural component of an aircraft that is constituted by five parts of large dimensions. The influence of the tolerances applied to the five components of the tail beam on the value of the gap at the interfaces among the parts has been deeply investigated. A set of control points have been distributed on the free-form surfaces of the tail beam; its number and its distribution have been opportunely designed. Moreover, the influence of the tolerances on the other requirements of the tail beam connected with the motion drive has been studied. Tolerance analysis has involved the choice of the assembly tools and sequence too. The assembly jigs are mated with the assembly components through pins that are inserted into tooling holes located on the assembly components. The fit conditions have been modeled and the tolerances of the tooling hole have been opportunely chosen. Each tolerance of the tail beam components has been modeled by means of a probability density function. Monte Carlo approach has been used to obtain the statistical distribution of the assembly requirements, once dimensions and geometry of the tail beam components have been perturbed inside the tolerance ranges. Monte Carlo simulation has been carried out by a well-known computer-aided tolerance software, eM-Tolmate of UGS®.

NUMERICAL SIMULATION OF THE FORMATION AND PROPAGATION OF STREAMER

2007 ◽  
Vol 18 (06) ◽  
pp. 957-971 ◽  
Author(s):  
A. SETTAOUTI ◽  
L. SETTAOUTI
Keyword(s):  
Numerical Simulation ◽  
Monte Carlo Simulation ◽  
Monte Carlo ◽  
Electric Fields ◽  
Sulfur Hexafluoride ◽  
Industrial Applications ◽  
Negative Ion ◽  
The Past ◽  
Ion Distributions ◽  
Streamer Propagation

There has been considerable interest in non-thermal discharges over the past decade due to the increased number of industrial applications. The properties of discharges in electronegative gases are most frequently used for technological applications. For the improvement of performance in these applications, it is necessary to understand discharge dynamics experimentally and numerically. In this paper, a Monte Carlo simulation is carried out in sulfur hexafluoride (SF6) in uniform electric fields. The streamer propagation, electron, positive and negative ion distributions and space charge fields are studied in detail as time increases.

scholarly journals Neural Network Backpropagation Identification of Jakarta Islamic Index (JII) Stock Price Patterns

2020 ◽  
Vol 4 (1) ◽  
pp. 90-94
Author(s):  
Musli Yanto ◽  
Liga Mayola ◽  
M. Hafizh
Keyword(s):  
Interest Rates ◽  
Stock Prices ◽  
Stock Price ◽  
Share Prices ◽  
Inflation Rates ◽  
Price Patterns ◽  
Price Movements ◽  
Pattern Determination ◽  
Network Patterns ◽  
Stock Price Movements

Jakarta Islamic Index (JII) is an organization engaged in the economy with the aim to pay attention to stock movements every day. With the JII, people who do not understand about shares and their movements, will be easy to know and understand the movement of shares that occur at certain times. The problem in this research is that many investors are unable to predict the rise and fall of stock prices. The prediction process can be done with a backpropagation algorithm. The algorithm is a concept of computer science which is widely used in the case of analysis, prediction and pattern determination. The process starts from the analysis of the variables used namely interest rates, exchange rates, inflation rates and stock prices that occurred in the previous period. The variables used are continued in the formation of network patterns and continued in the process of training and testing in order to produce the best network patterns so that they are used as a process of identifying JII stock price movements. The results obtained in the form of the value of stock price movements with an error rate based on the MSE value of 11.85% so that this study provides information in the form of knowledge for making a decision. The purpose of the research is used as input for investors in identifying share prices. In the end, the benefits felt from the results of this study, investors can make an initial estimate before investing in JII.

scholarly journals Downtrend of banking sectors using technical analysis

2021 ◽  
Vol 8 (1) ◽  
pp. 36-40
Author(s):  
Rahini M ◽  
Vivek Prabu M
Keyword(s):  
Significant Role ◽  
Stock Price ◽  
Banking Industry ◽  
Technical Analysis ◽  
Future Price ◽  
The Past ◽  
The Future ◽  
Price Movements ◽  
Past Price

The Banking industry plays a very significant role in the economy and the development of a country. It is important to our nation’s economy as it caters to the need of credit for all the section of the nation. In this paper, we are focusing on the stocks of Yes Bank Limited, Axis Bank Limited and ICICI Bank Limited and analyze them technically. Using technical analysis, we could predict the future price movements of stocks by examining the present and the past price movements of stocks.  It has many tools and indicators like SMA, EMA, RSI, MACD and P&L which are used for forecasting the future stock price and also identify the pattern, trend and it directs when to buy and sell stocks.

scholarly journals Markovian Approach to Stock Price Modelling in the Nigerian Oil and Gas Sector

2021 ◽  
Vol 12 (No. 1) ◽  
pp. 23-43
Author(s):  
Adekunle S. Ayo ◽  
Eboigbe S. Uwabor
Keyword(s):  
Steady State ◽  
Stock Price ◽  
Oil And Gas ◽  
Share Price ◽  
High Price ◽  
Steady State Distribution ◽  
State Distribution ◽  
Share Prices ◽  
Long Run ◽  
Oil And Gas Firms

The study investigates the stock price movement of quoted Nigerian oil and gas firms using the Markovian model. Specifically, the study estimates the change in likelihoods and steady-state distribution of the share prices of the firms to determine the average time spent by the share price to move to another state and the turnover rate of the selected stocks. Markov chain-based stochastic modelling approach was employed by using the daily closing share prices of all the seven oil and gas firms quoted on the Nigerian Stock Exchange from April 2017 to January 2020. The study finds that the transition probabilities and the steady-state distribution of all the firms are stationary at first-order, implying that chain depends on the previous state. The steady-state probabilities of all the firms examined exhibit relatively high price stability in the long run. The study recommends that investors with diverse attitudes to risk-taking can explore the estimated long-run prospect of the investigated stocks in making guided investment decisions.

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