Mathematical Analysis of Stock Prices Prediction in a Financial Market Using Geometric Brownian Motion Model

<!DOCTYPE html> <html lang="en" dir="ltr"> <head>  <script async src="https://www.googletagmanager.com/gtag/js?id=G-P63WKM1TM1"></script> <script> window.dataLayer = window.dataLayer || []; function gtag(){dataLayer.push(arguments);} gtag('js', new Date()); gtag('config', 'G-P63WKM1TM1'); </script>  <script type="text/javascript" > (function(m,e,t,r,i,k,a){m[i]=m[i]||function(){(m[i].a=m[i].a||[]).push(arguments)}; m[i].l=1*new Date(); for (var j = 0; j < document.scripts.length; j++) {if (document.scripts[j].src === r) { return; }} k=e.createElement(t),a=e.getElementsByTagName(t)[0],k.async=1,k.src=r,a.parentNode.insertBefore(k,a)}) (window, document, "script", "https://mc.yandex.ru/metrika/tag.js", "ym"); ym(55165297, "init", { clickmap:false, trackLinks:true, accurateTrackBounce:true, webvisor:false }); </script> <noscript><div><img src="https://mc.yandex.ru/watch/55165297" style="position:absolute; left:-9999px;" alt="" /></div></noscript>    <title>Mathematical Analysis of Stock Prices Prediction in a Financial Market Using Geometric Brownian Motion Model</title> <meta name="description" content="Mathematical Analysis of Stock Prices Prediction in a Financial Market Using Geometric Brownian Motion Model"> <meta name="keywords" content="Stock Market, Geometric Brownian Motion, normal and log-normal distribution, mean absolute percentage error."> <meta name="viewport" content="width=device-width, initial-scale=1, minimum-scale=1, maximum-scale=1, user-scalable=no"> <meta charset="utf-8"> <meta name="citation_title" content="Mathematical Analysis of Stock Prices Prediction in a Financial Market Using Geometric Brownian Motion Model"> <meta name="citation_author" content="Edikan E. Akpanibah"> <meta name="citation_author" content="Ogunmodimu Dupe Catherine"> <meta name="citation_publication_date" content="2023/07/18"> <meta name="citation_journal_title" content="International Journal of Mathematical and Computational Sciences"> <meta name="citation_volume" content="17"> <meta name="citation_issue" content="7"> <meta name="citation_firstpage" content="78"> <meta name="citation_lastpage" content="84"> <meta name="citation_pdf_url" content="https://publications.waset.org/10013177/pdf"> <link href="https://cdn.waset.org/favicon.ico" type="image/x-icon" rel="shortcut icon"> <link href="https://cdn.waset.org/static/plugins/bootstrap-4.2.1/css/bootstrap.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/plugins/fontawesome/css/all.min.css" rel="stylesheet"> <link href="https://cdn.waset.org/static/css/site.css?v=150220211555" rel="stylesheet"> </head> <body> <header> <div class="container"> <nav class="navbar navbar-expand-lg navbar-light"> <a class="navbar-brand" href="https://waset.org"> <img src="https://cdn.waset.org/static/images/wasetc.png" alt="Open Science Research Excellence" title="Open Science Research Excellence" /> </a> <button class="d-block d-lg-none navbar-toggler ml-auto" type="button" data-toggle="collapse" data-target="#navbarMenu" aria-controls="navbarMenu" aria-expanded="false" aria-label="Toggle navigation"> <span class="navbar-toggler-icon"></span> </button> <div class="w-100"> <div class="d-none d-lg-flex flex-row-reverse"> <form method="get" action="https://waset.org/search" class="form-inline my-2 my-lg-0"> <input class="form-control mr-sm-2" type="search" placeholder="Search Conferences" value="" name="q" aria-label="Search"> <button class="btn btn-light my-2 my-sm-0" type="submit"><i class="fas fa-search"></i></button> </form> </div> <div class="collapse navbar-collapse mt-1" id="navbarMenu"> <ul class="navbar-nav ml-auto align-items-center" id="mainNavMenu"> <li class="nav-item"> <a class="nav-link" href="https://waset.org/conferences" title="Conferences in 2024/2025/2026">Conferences</a> </li> <li class="nav-item"> <a class="nav-link" href="https://waset.org/disciplines" title="Disciplines">Disciplines</a> </li> <li class="nav-item"> <a class="nav-link" href="https://waset.org/committees" rel="nofollow">Committees</a> </li> <li class="nav-item dropdown"> <a class="nav-link dropdown-toggle" href="#" id="navbarDropdownPublications" role="button" data-toggle="dropdown" aria-haspopup="true" aria-expanded="false"> Publications </a> <div class="dropdown-menu" aria-labelledby="navbarDropdownPublications"> <a class="dropdown-item" href="https://publications.waset.org/abstracts">Abstracts</a> <a class="dropdown-item" href="https://publications.waset.org">Periodicals</a> <a class="dropdown-item" href="https://publications.waset.org/archive">Archive</a> </div> </li> <li class="nav-item"> <a class="nav-link" href="https://waset.org/page/support" title="Support">Support</a> </li> </ul> </div> </div> </nav> </div> </header> <main> <div class="container mt-4"> <div class="row"> <div class="col-md-9 mx-auto"> <form method="get" action="https://publications.waset.org/search"> <div id="custom-search-input"> <div class="input-group"> <i class="fas fa-search"></i> <input type="text" class="search-query" name="q" placeholder="Author, Title, Abstract, Keywords" value=""> <input type="submit" class="btn_search" value="Search"> </div> </div> </form> </div> </div> <div class="row mt-3"> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Commenced</strong> in January 2007</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Frequency:</strong> Monthly</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Edition:</strong> International</div> </div> </div> <div class="col-sm-3"> <div class="card"> <div class="card-body"><strong>Paper Count:</strong> 33093</div> </div> </div> </div> <div class="card publication-listing mt-3 mb-3"> <h5 class="card-header" style="font-size:.9rem">Mathematical Analysis of Stock Prices Prediction in a Financial Market Using Geometric Brownian Motion Model</h5> <div class="card-body"> <p class="card-text"><strong>Authors:</strong> <a href="https://publications.waset.org/search?q=Edikan%20E.%20Akpanibah">Edikan E. Akpanibah</a>, <a href="https://publications.waset.org/search?q=Ogunmodimu%20Dupe%20Catherine"> Ogunmodimu Dupe Catherine</a> </p> <p class="card-text"><strong>Abstract:</strong></p> <p>The relevance of geometric Brownian motion (GBM) in modelling the behaviour of stock market prices (SMP) cannot be over emphasized taking into consideration the volatility of the SMP. Consequently, there is need to investigate how GBM models are being estimated and used in financial market to predict SMP. To achieve this, the GBM estimation and its application to the SMP of some selected companies are studied. The normal and log-normal distributions were used to determine the expected value, variance and co-variance. Furthermore, the GBM model was used to predict the SMP of some selected companies over a period of time and the mean absolute percentage error (MAPE) were calculated and used to determine the accuracy of the GBM model in predicting the SMP of the four companies under consideration. It was observed that for all the four companies, their MAPE values were within the region of acceptance. Also, the MAPE values of our data were compared to an existing literature to test the accuracy of our prediction with respect to time of investment. Finally, some numerical simulations of the graphs of the SMP, expectations and variance of the four companies over a period of time were presented using MATLAB programming software.</p> <iframe src="https://publications.waset.org/10013177.pdf" style="width:100%; height:400px;" frameborder="0"></iframe> <p class="card-text"><strong>Keywords:</strong> <a href="https://publications.waset.org/search?q=Stock%20Market" title="Stock Market">Stock Market</a>, <a href="https://publications.waset.org/search?q=Geometric%20Brownian%20Motion" title=" Geometric Brownian Motion"> Geometric Brownian Motion</a>, <a href="https://publications.waset.org/search?q=normal%20and%20log-normal%20distribution" title=" normal and log-normal distribution"> normal and log-normal distribution</a>, <a href="https://publications.waset.org/search?q=mean%20absolute%20percentage%20error." title=" mean absolute percentage error."> mean absolute percentage error.</a> </p> <a href="https://publications.waset.org/10013177/mathematical-analysis-of-stock-prices-prediction-in-a-financial-market-using-geometric-brownian-motion-model" class="btn btn-primary btn-sm">Procedia</a> <a href="https://publications.waset.org/10013177/apa" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">APA</a> <a href="https://publications.waset.org/10013177/bibtex" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">BibTeX</a> <a href="https://publications.waset.org/10013177/chicago" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Chicago</a> <a href="https://publications.waset.org/10013177/endnote" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">EndNote</a> <a href="https://publications.waset.org/10013177/harvard" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">Harvard</a> <a href="https://publications.waset.org/10013177/json" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">JSON</a> <a href="https://publications.waset.org/10013177/mla" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">MLA</a> <a href="https://publications.waset.org/10013177/ris" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">RIS</a> <a href="https://publications.waset.org/10013177/xml" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">XML</a> <a href="https://publications.waset.org/10013177/iso690" target="_blank" rel="nofollow" class="btn btn-primary btn-sm">ISO 690</a> <a href="https://publications.waset.org/10013177.pdf" target="_blank" class="btn btn-primary btn-sm">PDF</a> <span class="bg-info text-light px-1 py-1 float-right rounded"> Downloads <span class="badge badge-light">267</span> </span> <p class="card-text"><strong>References:</strong></p> <br>[1] A. 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Mathematical Analysis of Stock Prices Prediction in a Financial Market Using Geometric Brownian Motion Model