Simulation of geometric Brownian motion in stock price

Shuonan Chen; Ziting Huang; Yuchen Lai; Xingyi Lu

doi:10.1117/12.2628052

22 April 2022 Simulation of geometric Brownian motion in stock price

Shuonan Chen, Ziting Huang, Yuchen Lai, Xingyi Lu

Author Affiliations +

Proceedings Volume 12163, International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2021); 1216334 (2022) https://doi.org/10.1117/12.2628052
Event: International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2021), 2021, Nanjing, China

Abstract

Geometric Brownian motion model is overwhelmingly advantageous as a model to simulate stock price. GBM is a Markov process and could be a martingale under certain situations, which is a feature consistent with stock price volatility; additionally, the GBM model accentuates the percentage instead of an absolute number of changes in stock price, which is another feature consistent with the stock market. Accordingly, “overall time horizons the chances of a stock price simulated using GBM moving in the same direction as real stock prices was a little greater than 50 percent.” In reality, the GBM model has been widely applied in many aspects. This research focuses on combining mathematics, finance, and computer science, applying the GBM model on Python in relatively basic methods to forecast certain stock price changes.

Citation Download Citation

Shuonan Chen, Ziting Huang, Yuchen Lai, and Xingyi Lu "Simulation of geometric Brownian motion in stock price", Proc. SPIE 12163, International Conference on Statistics, Applied Mathematics, and Computing Science (CSAMCS 2021), 1216334 (22 April 2022); https://doi.org/10.1117/12.2628052

ACCESS THE FULL ARTICLE

INSTITUTIONAL
Select your institution to access the SPIE Digital Library.

SELECT YOUR INSTITUTION

PERSONAL
Sign in with your SPIE account to access your personal subscriptions or to use specific features such as save to my library, sign up for alerts, save searches, etc.

PERSONAL SIGN IN

No SPIE Account? Create one

;

PURCHASE THIS CONTENT

SUBSCRIBE TO DIGITAL LIBRARY

50 downloads per 1-year subscription

Members: $195

Non-members: $335 ADD TO CART

25 downloads per 1 - year subscription

Members: $145

Non-members: $250 ADD TO CART

PURCHASE SINGLE ARTICLE