IDEAS home Printed from https://ideas.repec.org/p/hal/journl/hal-05082920.html
   My bibliography  Save this paper

Stochastic Analysis on Share Price Movements with Time-delay in Finite State

Author

Listed:
  • Inikio J.I.

    (Department of Mathematics & Statistics, Ignatius Ajuru University of Education, Rumuolumeni, Port Harcourt, Nigeria.)

  • Amadi I. U

    (Department of Mathematics, Statistics, Captain Elechi Amadi Polytechnic, Rumuola, Port Harcourt, Nigeria.)

  • Chims B

    (Ken Sarowiwa Polytechnic, Bori, Nigeria.)

  • Obinichi C.M.

    (Department Mathematics and Statistics, Captain Elechi Amadi Polytechnic Rumuola Portharcourt Nigeria.)

Abstract

Share prices changes over time and can be viewed as a stochastic process. In this paper, stochastic analysis of Markov chain in the closing share price data of Access and Fidelity (2016-2022) is considered. The share prices were transformed into 3-steps transition probability matrix solution to cover this number of years. From the solution matrix of stochastic analysis showed that Access bank, PLC has the best probability of price increasing in the near future: 12%, best probability of reducing in future by 21% and best probability of no-change in the near future by 20% which is a tool for proper decision making in the day-to-day management of the bank. More so, Fidelity bank, PLC has the best probability of price increasing in the near future: 10%, best probability of reducing in future by 23% and best probability of no-change in the near future by 22% which is also a tool for proper decision making in the day-to-day management of the bank. Finally from the two banks merged; has the best probability of price increasing in the near future: 12%, best probability of reducing in future by 67% and best probability of no-change in the near future by 21%, the study introduced the concept of time dependent delay parameter in the share price movements in finite state which shows lots of increase in the share price of each banks. The future share price percentage changes were known; which is a tool for proper decision making in the day-to-day management of the banks, hence the two banks are profit making organization and are hopeful for future investment plans both short or long term respectively.

Suggested Citation

  • Inikio J.I. & Amadi I. U & Chims B & Obinichi C.M., 2025. "Stochastic Analysis on Share Price Movements with Time-delay in Finite State," Post-Print hal-05082920, HAL.
    • Handle: RePEc:hal:journl:hal-05082920
    DOI: 10.56557/abaarj/2025/v7i1179
    as

    Download full text from publisher

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:hal:journl:hal-05082920. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: CCSD (email available below). General contact details of provider: https://hal.archives-ouvertes.fr/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.