BROWNIAN MOVEMENT OF STOCK QUOTES OF THE COMPANIES LISTED ON THE BUCHAREST STOCK EXCHANGE AND PROBABILITY RANGES

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.

Keywords: evolution of stock quotes in continuous time, brownian movement, probability ranges

JEL Classification: C02, C13, G,17

Volume: 68, Issue: 1

Pages: 7 - 20

Publication date: June, 2016

Download the article: http://economice.ulbsibiu.ro/revista.economica/archive/68101bratian.pdf

”Cite