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Stochastic Modeling of Stock Price Behavior on Ghana Stock Exchange

Osei Antwi
2017 International Journal of Systems Science and Applied Mathematics  
This paper analyzes stock price behaviour on Ghana Stock Exchange (GSE) and develops a stochastic model to predict the behaviour of stock prices on the exchange using Monte Carlo simulations.  ...  The results find increasing evidence that the stochastic model consistently predict the stock price behaviour on the exchange in more than 80% of the listed stocks.  ...  More generally in H years the probability distribution of the stock price is (0, √H).  ... 
doi:10.11648/j.ijssam.20170206.12 fatcat:x2nnf466jvgzngi6dfnaali6gm

Stock Price Behaviour around the Announcement Date of Cash Dividend on the Indonesia Stock Exchange

Mujilan Mujilan
2022 Jurnal Akuntansi dan Keuangan  
The results show that the date of announcement and recording of dividends do not have an impact on the increase in stock prices, but the result shows a decline in stock prices.  ...  The results of this study imply that the announcement of cash dividends does not trigger stock buying action around the announcement date for the companies who distribute cash dividends.  ...  The statistical descriptive table shows the average share price on a certain date. Different test tables are used to show statistical differences in stock prices on the compared dates.  ... 
doi:10.9744/jak.24.1.10-23 fatcat:xoyoh7xwmjhvvnuaqc5imczfve

Self-organization of price fluctuation distribution in evolving markets

R. K Pan, S Sinha
2007 Europhysics letters  
Here we analyse both high-frequency tick-by-tick as well as daily closing price data to show that the price fluctuations in the Indian stock market, one of the largest emerging markets, have a distribution  ...  Financial markets can be seen as complex systems in non-equilibrium steady state, one of whose most important properties is the distribution of price fluctuations.  ...  If P i (t) is the stock price of the ith stock at time t, then the (logarithmic) price return is defined as R i (t, ∆t) ≡ ln P i (t + ∆t) − ln P i (t). (1) However, the distribution of price returns of  ... 
doi:10.1209/0295-5075/77/58004 fatcat:nkzgl53s2jchnk6k5anzcjpcte

Analysis on Ex-Dividend Phenomenon before and During COVID-19 Pandemic in Indonesia (Study on Index IDX High Dividend 20)

Ratna Suwendiyanti, Rilla Gantino
2022 East African Scholars Journal of Economics Business and Management  
This study aims to find the difference in stock price and trading volume around the ex-dividend date before and during the COVID-19 pandemic.  ...  The study result shows a significant difference in stock price before, during, and after the ex-dividend date before the pandemic but not during the pandemic.  ...  One of the information that can influence prices and the number of shares movement is a corporate action, such as right issue, distribution of bonus stock, stock split, and dividend distribution (Nuraya  ... 
doi:10.36349/easjebm.2022.v05i01.001 fatcat:3kd5ofnpebf3xdxmw5ptxfws7u

A data-driven approach for modeling the behavior of stock prices [article]

Khalid Aram
2022 arXiv   pre-print
In this paper, we describe two approaches to model the behavior of stock prices. The first approach considers the underlying probability distribution of day-to-day price differences.  ...  We demonstrated the two approaches using historical opening prices of Apple inc. and compared the simulated prices from the two approaches to the actual ones using information theory metrics.  ...  Model 1: Normally Distributed Price Differences Figure 3 shows the day-to-day price differences for the opening prices in 251 days and a histogram of the differences.  ... 
arXiv:2208.02949v1 fatcat:isrsczcsznh3njdxryozdrz3ie

Tick size and stock returns

Jukka-Pekka Onnela, Juuso Töyli, Kimmo Kaski
2009 Physica A: Statistical Mechanics and its Applications  
In this paper we investigate the impact of tick size on stock returns.  ...  It is the smallest institutionally allowed price increment, has a direct bearing on the bid-ask spread, influences the strategy of trading order placement in electronic markets, affects the price formation  ...  The remaining stocks had a fairly uniform distribution of prices on all fractions.  ... 
doi:10.1016/j.physa.2008.10.014 fatcat:a6x66v7wvvgthmxpfcl47iji7a

Universal Behavior of Extreme Price Movements in Stock Markets

Miguel A. Fuentes, Austin Gerig, Javier Vicente, Enrico Scalas
2009 PLoS ONE  
of the process -- accurately explains the probability of different-sized price changes, including the relative high frequency of extreme movements.  ...  Using a large collection of data from three different stock markets, we present evidence that a modification to the random model -- adding a slow, but significant, fluctuation to the standard deviation  ...  Author Contributions Conceived and designed the experiments: MAF AG JV. Analyzed the data: MAF AG JV. Wrote the paper: MAF AG JV.  ... 
doi:10.1371/journal.pone.0008243 pmid:20041178 pmcid:PMC2793428 fatcat:picf6424rbh6bppbj4chfrardu

Stock Price Clustering and Discreteness

Lawrence Harris
1991 The Review of financial studies  
Stock prices cluster on round fractions.  ...  Projections from the results suggest that traders would frequently use odd sixteenths when trading low-price stocks, if exchange regulations permitted trading on sixteenths.  ...  price sets based on different minimum price variations. 14 Clustering frequency distributions for individual stocks are estimated from time-series data.  ... 
doi:10.1093/rfs/4.3.389 fatcat:a2r4zprfsng6bnz2k4cejypc24

How does the Occurrence of Stock Price Reversals Following End-of-the day Price Moves Differ in Bull and Bear Markets?

Chun Li Tsai
2015 Journal of Stock & Forex Trading  
For each of the sample stocks and for each of the trading days, we compare the respective price differences.  ...  This paper uses intraday price data for 326 individual firms to examine how the occurrence of interday stock price reversals differs in bull and bear markets.  ...  One set of articles examines stock price reversals.  ... 
doi:10.4172/2168-9458.1000144 fatcat:6msekfwxvzh3bc2lmohyuguyea


Suri Rahma Fahira, Islahuddin Islahuddin
2020 Jurnal Ilmiah Mahasiswa Ekonomi Akuntansi  
The purpose of this research is to analyze the market reaction to the presidential election year 2019 indicated by the average price and trading volume of stocks in the infrastructure sector listed on  ...  It was found that there was no reaction in stock price, both between sectors and within infrastructure sector.  ...  The stock price is the price of a stock on an ongoing market. If the market is closed, the market price of the stock is the closing price (Marcellyna & Hartini, 2011) .  ... 
doi:10.24815/jimeka.v5i3.16054 fatcat:cglvkmzhpnewvfv4ycsbxtmr2y

Page 46 of The Journal of Business Vol. 38, Issue 1 [page]

1965 The Journal of Business  
Stock splits are handled as follows: if a stock splits two for one on day #, its actual closing price on day ¢ is doubled, and the difference between the logarithm of this doubled price and the logarithm  ...  FREQUENCY DISTRIBUTIONS One very simple way of analyzing the distribution of changes in log price is to construct frequency distributions for the individual stocks.  ... 

A Study of Literature on Robust Skew Student T Distribution for Parameter Estimation

Samson Agboola
2017 International Journal of Wireless Communications and Mobile Computing  
Real life data such as cancer and Stock returns will be analyzed against the common distributions to assess differences and similarities in the behavior of the distributions.  ...  This study aim of this research is to propose three new distributions for the distribution of stock returns and using those distributions proposed and estimates the parameters of stock returns.  ...  Conclusion This study review work done on stock returns where different authors used different models statistic in modelling stock price or returns.  ... 
doi:10.11648/j.wcmc.20170503.11 fatcat:ffp36rk2prcctkqye2nwspac3m

Explore the Impact of the Trading Value, The Oil Price and Quantitative Easing Policy on the Taiwan and Korea Stock Market Return with Quantile Regression

Tzu-Kuang Hsu, Chin-Chang Tsai
2017 Asian Economic and Financial Review  
on stock index returns, the results show no differences.  ...  Noteworthy, under situations of low distribution of stock index returns, oil price changes are found to have positive effects on Taiwan's and Korea's stock index returns.  ...  Regarding the Korea stock market, under situations of high and low distribution of Korea stock index returns, the result shows no differences between the impacts of stock trading value changes on stock  ... 
doi:10.18488/journal.aefr/2017.7.1/ fatcat:abcncd7ierclbko7owtbf6lkiu

Limit order book and its modeling in terms of Gibbs Grand-Canonical Ensemble

Alberto Bicci
2016 Physica A: Statistical Mechanics and its Applications  
In this paper a similar approach is made from a different perspective, trying to model the limit order book and price formation process of a given stock by the Grand-Canonical Gibbs Ensemble for the bid  ...  of the stock as well as of the exchanged volume of shares.  ...  Acknowledgements I would like to thank Sandro Sozzo for the valuable advises he gave me to improve this work and the encouragement to submit it to publication.  ... 
doi:10.1016/j.physa.2016.07.040 fatcat:ozstb4blyjbfvnrqtqycdjn5de

Price Limit and Volatility in Taiwan Stock Exchange: Some Additional Evidence from the Extreme Value Approach

Aktham Issa Maghyereh, Haitham A Al-Zoubi, Haitham Nobanee
2007 Social Science Research Network  
We reexamine the effects of price limits on stock volatility of Taiwan Stock Exchange using a new methodology based on the Extreme-Value technique.  ...  Consistent with the advocates of price limits, we find that stock market volatility is sharply moderated under more restrictive price limits.  ...  Acknowledgments We are grateful to the editor and anonymous referees for their constructive comments.  ... 
doi:10.2139/ssrn.2969963 fatcat:3ee2a4qodrbyrpuljpe6qkmy4a
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