Mathematical modeling of stock prices

“Normality” of Stock Prices

“Normality” of Stock Prices Bo Shi Abstract. The Black-Scholes Model, often simply called Black-Scholes, models the varying price of financial instruments over time: stocks in particular. This model assumes that returns on the underlying stock are lognormally distributed, which can be reasonable for many assets that offer options. However, from a selection of 100 stock histories, I found that a...

Stock prices and house prices: Which one affects the other?

Stocks and houses as two major assets which play important role in the balance sheet of Iranian households. Changes in two markets have a large influence on wealth and the general economy. The purpose of this study is to examine the relationship between stock and house prices over a thirty-year period using vector auto-regression (VAR). Using yearly data for the period from 1985 to 2013, we con...

Forecasting UK stock prices

The Vector Autoregressive (VAR) model, the Error Correction Model (ECM), and the Kalman Filter Model (KFM) are used to forecast UK stock prices. The forecasting performance of the three models is compared using out of sample forecasting. The results show that the forecasting performance of the ECM is better than that of the VAR and the KFM, and that the VAR performs a forecasting better than th...

Modeling Stock Market Exchange Prices Using Artificial Neural Network: A Study of Amman Stock Exchange

Stock market represents an essential part of the economy in the Middle East, it is significant for shareholders and investors to estimate the stock price and select the best trading opportunity accurately in advance. This paper utilizes artificial neural network in the modeling of stock market exchange prices. The network was trained using supervised learning. Simulation was conducted for seven...

Modelling Stock Prices