Balance the Effect of Forecast in Different Sample Sizes

• Main Authors: Chan, Hsuan-Wei, 詹玄維
• Other Authors: Chang, Kuo-Kang
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/73225213928606335763

碩士 === 國立屏東教育大學 === 應用數學系 === 102 === In this research, our goal is to forecast the closing price in the following day of the stock of TCC. The data is collected from January, 2010 to January, 2014. We do the Monte Carlo Simulations with Geometric Brownian Motion Model and the History Volatility Model to forecast the price of stock. In this study, the deviations in different sample size between the estimated value and the actual value are compared. Besides, the deviation judgment indexes are RMSE, MAE and MAPE. In the other hand, we write program in Excel 2010 by ourselves to assist with collecting data and calculation. The results show that the behavior of different samples is different in distinct environment. However, generally speaking, the effect of 50-sample-size is better than the others.