Mathematical Model of Stock Prices via a Fractional Brownian Motion Model with Adaptive Parameters | Zendy

Tidarut Areerak | Zendy

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Mathematical Model of Stock Prices via a Fractional Brownian Motion Model with Adaptive Parameters

Author(s) -

Tidarut Areerak

Publication year - 2014

Publication title -

isrn applied mathematics

Language(s) - English

Resource type - Journals

eISSN - 2090-5572

pISSN - 2090-5564

DOI - 10.1155/2014/791418

Subject(s) - fractional brownian motion , brownian motion , geometric brownian motion , stock (firearms) , econometrics , mathematics , stock price , reflected brownian motion , diffusion process , mathematical optimization , economics , computer science , statistics , service (business) , engineering , series (stratigraphy) , economy , mechanical engineering , paleontology , biology

The paper presents a mathematical model of stock prices using a fractional Brownian motion model with adaptive parameters (FBMAP). The accuracy index of the proposed model is compared with the Brownian motion model with adaptive parameters (BMAP). The parameters in both models are adapted at any time. The ADVANC Info Service Public Company Limited (ADVANC) and Land and Houses Public Company Limited (LH) closed prices are concerned in the paper. The Brownian motion model with adaptive parameters (BMAP) and fractional Brownian motion model with adaptive parameters (FBMAP) are applied to identify ADVANC and LH closed prices. The simulation results show that the FBMAP is more suitable for forecasting the ADVANC and LH closed price than the BMAP.

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