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Brownian Movement Of Stock Quotes Of The Companies Listed On The Bucharest Stock Exchange And Probability Ranges

Author

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  • BRATIAN Vasile

    (Lucian Blaga University of Sibiu, Romania)

Abstract

This paper aims to generate evolutions in continuous time of quotes for five companies listed on the Bucharest Stock Exchange, the first category, and determining ranges of probability where you can find these quotes in the future (one month, three months, six months). In this sense, the quotes of listed shares are considered random variables of continuous type and the model used to generate evolutions is the most accepted model for equities, currencies, indices.

Suggested Citation

  • BRATIAN Vasile, 2016. "Brownian Movement Of Stock Quotes Of The Companies Listed On The Bucharest Stock Exchange And Probability Ranges," Revista Economica, Lucian Blaga University of Sibiu, Faculty of Economic Sciences, vol. 68(1), pages 7-20, June.
    • Handle: RePEc:blg:reveco:v:68:y:2016:i:1:p:7-20
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    File URL: http://economice.ulbsibiu.ro/revista.economica/archive/68101bratian.pdf
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    More about this item

    Keywords

    evolution of stock quotes in continuous time; brownian movement; probability ranges;
    All these keywords.

    JEL classification:

    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • G - Financial Economics

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