An analysis of mathematical model of Taiwan listed stock price

• Main Authors: Jen-Horng Guo, 郭政鴻
• Other Authors: 蘇永在
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/16942433308590608999

碩士 === 國立高雄師範大學 === 數學系 === 89 === Many people are interested in predicting of the future stock price. Models of stock price behavior are usually expressed in terms of Wiener processes. This is a physical theory derived from the observation of the vibration of air molecular and later applied to explain the variance of stock price behavior. Based on this theory, I adopt Ito's process to decomposite the volatility of stock price into two parts -- the trend component and the noise component. Thus, the mathematical model of Taiwan's listed stock price is predicted in the manner of simulation.