Home Journals Books For Authors and Reviewers Online Submission News About Us Contact Us
Search
magazinelogo

Journal of Applied Mathematics and Computation

ISSN Print: 2576-0645 Downloads: 126135 Total View: 1656064
Frequency: quarterly ISSN Online: 2576-0653 CODEN: JAMCEZ
Email: jamc@hillpublisher.com
Search articles within this journal Submit an article

Journal Menu

Volumes & Issues

Current Issue

Download PDF

How to cite this paper

7245

TOTAL VIEWS

9

More Articles

Article http://dx.doi.org/10.26855/jamc.2022.03.011

A Stochastic Analysis of Stock Market Price Fluctuations for Capital Market

B. O. Osu1,*, I. U. Amadi2

1Department of Mathematics, Abia State University, Uturu Abia State, Nigeria.

2Department of Mathematics/Statistics, Captain Elechi Amadi polytechnic, Rumuola, Port Harcourt, Nigeria.

*Corresponding author: B. O. Osu

Published: March 15,2022

Abstract

This paper studied the stochastic analysis of stock market expected returns for investors. The detailed conditions for obtaining the drifts, volatilities and variances of four different stocks were considered. We compared the variances of four different stocks using our criteria for selection and the result showed that stock (1) is the best among the stocks of different companies, which is in agreement with the work of Ofomata et al. From the stochastic analysis of the model, systems of non-linear ordinary differential equations were developed by means of covariance matrix on the stochastic part of the expected returns of investors while the deterministic part a function of the drift parameter as a column vector. We imposed a constraint that led the drift parameter to zero and working with the stochastic part of the equation by exploring correlation matrix solution. This way, a statistical goodness of fit was proposed.

References

[1] Umar, M. S. and Musa, T. M. (2013). Stock price and firm earning per share in Nigeria. JORIND, 11(2), 187-192.

[2] Nwobi, F. N. (2011). Application of Symmetry Analysis of Partial Differential Equations Arising from Mathematics of Finance. Doctor of Philosophy in school of Mathematical Sciences University of Kwazulu—Natal Durban South Africa.

[3] Osu, B. O. (2010). A Stochastic Model of the Variation of the Capital Market Price. International Journal of Trade, Economics and Finance, 1, 3, 297-302.

[4] Davies, I., Amadi, I. U., and Ndu, R. I. (2019). Stability Analysis of Stochastic Model for Stock Market Prices. International Journal of Mathematics and Computational Methods, 4, 79-86.

[5] Osu, B. O., Okoroafor, A. C., and Olunkwa, C. (2009). Stability Analysis of Stochastic model of Stock market price. African Journal of Mathematics and Computer Science, 2(6), 98-103

[6] Adeosun, M. E., Edeki, S. O., and Ugbebor, O. O. (2015). Stochastic Analysis of Stock Market Price Models: A case Study of the Nigerian Stock Exchange (NSE). WSEAS Transactions on Mathematics, 14, 353-363.

[7] Ofomata, A. I. O., Inyama, S. C., Umana, R. A., and Omane, A. O. (2017). A stochastic Model of the Dynamics of Stock Price for Forecasting. Journal of Advances in Mathematics and Computer Science, 25(6), 1-24.

[8] Dmouj, A. (2006). Stock price modeling: Theory and practice. BIM Paper.

[9] Ugbebor, O. O., Onah, S. E., and Ojowo, O. (2001). An Empirical Stochastic Model of Stock Price Changes. Journal Nigerian Mathematical Society, 20, 95-101.

[10] Osu, B. O. and Okoroafor, A. C. (2007). On the measurement of random behavior of stock price changes. Journal of Mathematical Science Dattapukur, 18(2), 131-141.

[11] Wets, R. J. B. and Rios, I. (2012). Modeling and estimating commodity prices: copper prices. JEL classification C53.

How to cite this paper

A Stochastic Analysis of Stock Market Price Fluctuations for Capital Market

How to cite this paper: B. O. Osu, I. U. Amadi. (2022) A Stochastic Analysis of Stock Market Price Fluctuations for Capital Market. Journal of Applied Mathematics and Computation, 6(1), 85-95.

DOI: https://dx.doi.org/10.26855/jamc.2022.03.011

Home　|　Journals　|　Books　|　For Authors and Reviewers　|　Online Submission　|　Contact Us　|　About Us

Copyright © 2023 Hill Publishing Group Inc. All Rights Reserved.