Article2012

A Review on Geometric Brownian Motion in Forecasting the Share Prices in Bursa Malaysia

Siti Nazifah Zainol Abidin · Zainol Abidin · Maheran Mohd Jaffar · Selangor Darul Ehsan

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Stochastic processes and financial applications Financial Markets and Investment Strategies Stock Market Forecasting Methods

Abstract

Abstract: The application of Geometric Brownian motion to forecast share prices is reviewed. Formula of Geometric Brownian motion is analyzed and examined to meet the fluctuation of share prices. Uncertainty and unpredictability share prices makes it difficult for investors to forecast future prices. Thus, this reviewed paper aims to state the importance of application of Geometric Brownian Motion into share prices and helps the investors to forecast future prices for the short-term investment. This paper will elaborate geometric Brownian motion involving the randomness, volatility and drift that can help investors in making their investment decision wisely. Key words: Geometric brownian motion • forecasting • share prices • drift • volatility

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References

1995Random Walks in Stock Market Prices 2005Stock market forecasting using hidden Markov model: a new approach 2010Integration of genetic fuzzy systems and artificial neural networks for stock price forecasting 2008A hybrid model for stock market forecasting and portfolio selection based on ARX, grey system and RS theories 2008Fundamentals of Forecasting Using Excel 2008Forecasting the turning time of stock market based on Markov–Fourier grey model 2008Portfolio optimization of equity mutual funds with fuzzy return rates and risks 2009Development of modified Geometric Brownian Motion models by using stock price data and basic statistics

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